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Published in 2019 at "Empirical Economics"
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…
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Keywords:
bonds identification;
dynamics european;
sovereign bonds;
european sovereign ... See more keywords
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Published in 2020 at "Journal of Financial Stability"
DOI: 10.1016/j.jfs.2020.100783
Abstract: Abstract Consistent with flight-to-quality, the coskewness between developed market sovereign bonds and global equity markets can help explain bond returns. A coskewness factor, defined as the return difference between the most negative coskewness bond portfolio…
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Keywords:
bonds coskewness;
monetary policy;
coskewness;
sovereign bonds ... See more keywords
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Published in 2018 at "Risks"
DOI: 10.3390/risks6040141
Abstract: We enhance the modelling and risk assessment of sovereign bond spreads by taking into account quantitative information gained from macro-economic news sentiment. We investigate sovereign bonds spreads of five European countries and improve the prediction…
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Keywords:
news;
risk assessment;
sentiment;
sovereign bonds ... See more keywords