The structure and degree of dependence in government bond markets

Author:

Dimic Nebojsa,Piljak Vanja,Swinkels Laurens,Vulanovic Milos

Funder

Waldemar von Frenckells Stiftelse

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference88 articles.

1. Time-varying integration in European government bond markets;Abad;Eur. Financ. Manage.,2014

2. Re-examination of international bond market dependence: evidence from a pair copula approach;Abakah;Int. Rev. Financ. Anal.,2021

3. The exposure of long-term foreign currency bonds;Adler;J. Financ. Quantit. Anal.,1980

4. On international integration of emerging sovereign bond markets;Agur;Emerg. Markets Rev.,2019

5. Asymmetric Dependence in Finance: Diversification, Correlation and Portfolio Management in Market Downturns;Alcock,2018

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