Irish paper proposes three-phase model of volatility in bond markets
Irish paper proposes three-phase model of volatility in bond markets
A working paper published by the Central Bank of Ireland examines contagion in European sovereign bond markets from January 2003 to December 2014.
In Contagion in eurozone sovereign bond markets? The good, the bad and the ugly, David Cronin, Thomas Flavin and Lisa Sheenan look at daily 10-year sovereign bond spreads against German government bonds for 10 other eurozone countries. They also look at daily bond spreads for the United States "in order to control for external events".
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