Dynamics of the European sovereign bonds and the identification of crisis periods
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DOI: 10.1007/s00181-019-01653-0
Abstract: We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of different information from the CDS market and historical price movements of the sovereign… read more here.
Keywords: bonds identification; dynamics european; sovereign bonds; european sovereign ... See more keywords