| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5060337 | Economics Letters | 2013 | 5 Pages |
Abstract
⺠Analysis of co-movements of bond returns in the euro area during the debt crisis. ⺠Use of a factor model with time-varying loadings and stochastic volatility. ⺠Estimation results show several changes in the factor structure. ⺠And a strong increase in idiosyncratic variances in almost all bond markets. ⺠In 2012 the bond markets in Greece, Portugal, and Ireland seem to have decoupled.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jens Boysen-Hogrefe,