Please use this identifier to cite or link to this item: http://hdl.handle.net/2445/54183
Title: Time-varying integration in european government bond markets
Author: Chuliá Soler, Helena
Gómez-Puig, Marta
Abad, Pilar
Keywords: Països de la Unió Europea
Bancs d'inversió
Capitalistes
Risc (Economia)
Bons
Gestió d'actius i passius
Actius financers derivats
European Union countries
Investment banking
Capitalists
Risk
Bonds
Asset-liability management
Derivative securities
Issue Date: 14-Mar-2014
Publisher: John Wiley & Sons
Abstract: Bond market integration clearly changes in response to economic and financial conditions, since the level of risk aversion changes and investors require time-varying compensation for accepting a risky payoff from financial assets. In this paper we examine the dynamic behaviour of European Government bond market integration using an asset pricing model based on that of Bekaert and Harvey.
Note: Versió postprint del document publicat a: http://dx.doi.org/10.1111/j.1468-036X.2011.00633.x
It is part of: European Financial Management, 2014, vol. 2, num. 2, p. 270-290
Related resource: http://dx.doi.org/10.1111/j.1468-036X.2011.00633.x
URI: http://hdl.handle.net/2445/54183
ISSN: 1354-7798
Appears in Collections:Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)
Articles publicats en revistes (Economia)

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