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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 |
| URI: | http://hdl.handle.net/2445/54183 |
| Related resource: | http://dx.doi.org/10.1111/j.1468-036X.2011.00633.x |
| ISSN: | 1354-7798 |
| Appears in Collections: | Articles publicats en revistes (Econometria, Estadística i Economia Aplicada) Articles publicats en revistes (Economia) |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| 598619.pdf | 689.66 kB | Adobe PDF | View/Open |
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