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Article

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Accepted version

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2014-03-14

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Please use this identifier to cite or link to this item: https://hdl.handle.net/2445/54183

Time-varying integration in european government bond markets

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Related resource

http://dx.doi.org/10.1111/j.1468-036X.2011.00633.x

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.

Subject

Països de la Unió Europea, Bancs d'inversió, Capitalistes, Risc (Economia), Bons, Gestió d'actius i passius, Actius financers derivats

Subject (English)

European Union countries, Investment banking, Capitalists, Risk, Bonds, Asset-liability management, Derivative securities

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Articles publicats en revistes (Economia)
Articles publicats en revistes (Econometria, Estadística i Economia Aplicada)

Citation

CHULIÁ SOLER, Helena, GÓMEZ-PUIG, Marta and ABAD, Pilar. Time-varying integration in european government bond markets. European Financial Management. 2014. Vol. 2, num. 2, pags. 270-290. ISSN 1354-7798. [consulted: 10 of August of 2026]. Available at: https://hdl.handle.net/2445/54183

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