欧洲主权债券市场收益和波动溢出的高频分析

IF 2.2 3区经济学 Q2 BUSINESS, FINANCE

European Journal of Finance Pub Date : 2021-04-06 DOI:10.1080/1351847X.2021.1910057

Conall O'Sullivan, V. Papavassiliou

引用次数: 3

摘要

利用MTS交易平台的高频数据，我们研究了欧洲主权债券市场在平静和危机时期不同期限的回报和波动率溢出效应。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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A high-frequency analysis of return and volatility spillovers in the European sovereign bond market

Using high-frequency data from the MTS trading platform, we examine return and volatility spillover effects across different maturities in the European sovereign bond market over tranquil and crisi...

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来源期刊

European Journal of Finance BUSINESS, FINANCE-

CiteScore

5.40

自引率

8.00%

发文量

期刊介绍： The European Journal of Finance publishes a full range of research into theoretical and empirical topics in finance. The emphasis is on issues that reflect European interests and concerns. The journal aims to publish work that is motivated by significant issues in the theory or practice of finance. The journal promotes communication between finance academics and practitioners by providing a vehicle for the publication of research into European issues, stimulating research in finance within Europe, encouraging the international exchange of ideas, theories and the practical application of methodologies and playing a positive role in the development of the infrastructure for finance research.