Babalos, Vassilios; Gupta, Rangan; Kyei, Clement; … - Department of Economics, Faculty of Economic and … - 2015
This paper investigates the possible existence of Granger-causal relationships in the behavior of sovereign bond markets within the European Monetary Union (EMU), with special focus on higher order causality accounting for nonlinear dependence between the variables. With the above in mind both...