Macroannouncements, bond auctions and rating actions in the European government bond spreads
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DOI: 10.1016/j.jimonfin.2015.01.004
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Cited by:
- de Haan, Leo & Vermeulen, Robert, 2021. "Sovereign debt ratings and the country composition of cross-border holdings of euro area sovereign debt," Journal of International Money and Finance, Elsevier, vol. 119(C).
- Lars Winkelmann & Wenying Yao, 2024.
"Tests for Jumps in Yield Spreads,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 946-957, July.
- Winkelmann, Lars & Yao, Wenying, 2021. "Tests for jumps in yield spreads," Discussion Papers 2021/15, Free University Berlin, School of Business & Economics.
- Lars Winkelmann & Wenying Yao, 2023. "Tests for Jumps in Yield Spreads," Berlin School of Economics Discussion Papers 0024, Berlin School of Economics.
- de Haan, Leo & Vermeulen, Robert, 2021.
"Sovereign debt ratings and the country composition of cross-border holdings of euro area sovereign debt,"
Journal of International Money and Finance, Elsevier, vol. 119(C).
- Leo de Haan & Robert Vermeulen, 2018. "The impact of sovereign debt ratings on euro area cross-border holdings of euro area sovereign debt," DNB Working Papers 620, Netherlands Central Bank, Research Department.
- Chen, Yixiang & Ma, Feng & Zhang, Yaojie, 2019. "Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets," Energy Economics, Elsevier, vol. 81(C), pages 52-62.
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More about this item
Keywords
Jumps; Cojumps; Government bond spreads; Macroannouncements; Government bond auctions; Rating actions;All these keywords.
JEL classification:
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- H63 - Public Economics - - National Budget, Deficit, and Debt - - - Debt; Debt Management; Sovereign Debt
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
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