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Linkages in the term structure of interest rates across sovereign bond markets
16 references·0 citing·39 second hop
Linkages in the term structure of interest rates across sovereign bond markets (2016)Linkages in the term structure of interes…U.S. unconventional monetary policy and transmission to emerging market economies (2015)U.S. unconventional monetary …Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries (2012)Dynamic spillovers between oi…Volatility spillovers between the Chinese and world equity markets (2011)Volatility spillovers between…Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Better to give than to receiv…Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Measuring Financial Asset Ret…Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approach (2008)Global yield curve dynamics a…Volatility‐Spillover Effects in European Bond Markets (2007)Volatility‐Spillover Effects …Macro Factors and the Term Structure of Interest Rates (2006)Macro Factors and the Term St…The macroeconomy and the yield curve: a dynamic latent factor approach (2005)The macroeconomy and the yiel…Spillovers of stock return volatility to Asian equity markets from Japan and the US (2003)Spillovers of stock return vo…Forecasting the Term Structure of Government Bond Yields (2003)Forecasting the Term Structur…Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …Impulse response analysis in nonlinear multivariate models (1996)Impulse response analysis in …Good News, Bad News, Volatility, and Betas (1995)Good News, Bad News, Volatili…Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Yield Spreads and Interest Ra…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Stochastic Simulation (1987)The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Macroeconomics and Reality (1980)Dynamic Conditional Correlation (2002)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions (2020)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Forecasting Crashes: Trading Volume, Past Returns and Conditional Skewness in Stock Prices (2000)The specification of conditional expectations (2001)Analysis of high dimensional multivariate stochastic volatility models (2005)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Cointegration and Tests of Present Value Models (1987)The Information in Long-Maturity Forward Rates (1987)Term Premia and Interest Rate Forecasts in Affine Models (2002)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Bond Risk Premia (2005)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Discretion versus policy rules in practice (1993)Sovereign default and debt renegotiation (2009)A New Perspective on Gaussian Dynamic Term Structure Models (2010)Forecasting Inflation (2013)The robustness of identified VAR conclusions about money (1998)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)The Term Structure as a Predictor of Real Economic Activity (1991)Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Real-Time Measurement of Business Conditions (2009)Basel Committee On Banking Supervision (2010)Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013)Oil Prices and Stock Markets: A Review of the Theory and Empirical Evidence (2018)Oil volatility, oil and gas firms and portfolio diversification (2018)How connected is the carbon market to energy and financial markets? A systematic analysis of spillovers and dynamics (2020)Explaining the Rate Spread on Corporate Bonds (2001)The U.S. Treasury yield curve: 1961 to the present (2007)
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References

  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2011Better to give than to receive: Predictive directional measurement of volatility spillovers5,798 cited
  • 1996Impulse response analysis in nonlinear multivariate models5,071 cited
  • 2008Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets3,131 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 2003Forecasting the Term Structure of Government Bond Yields1,838 cited
  • 1991Yield Spreads and Interest Rate Movements: A Bird's Eye View1,780 cited
  • 2005The macroeconomy and the yield curve: a dynamic latent factor approach967 cited
  • 1995Good News, Bad News, Volatility, and Betas406 cited
  • 2012Dynamic spillovers between oil and stock markets in the Gulf Cooperation Council Countries347 cited
  • 2006Macro Factors and the Term Structure of Interest Rates327 cited
  • 2015U.S. unconventional monetary policy and transmission to emerging market economies325 cited
  • 2011Volatility spillovers between the Chinese and world equity markets262 cited
  • 2008Global yield curve dynamics and interactions: A dynamic Nelson–Siegel approach261 cited
  • 2007

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Volatility‐Spillover Effects in European Bond Markets
225 cited
  • 2003Spillovers of stock return volatility to Asian equity markets from Japan and the US195 cited
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