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Time-varying integration in european government bond markets

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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.

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European Financial Management, 2014, vol. 2, num. 2, p. 270-290

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Articles publicats en revistes (Economia)

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Time-varying integration in european government bond markets