A frequency-specific factorization to identify commonalities with an application to the European bond markets*
Simona Boffelli, Jan Novotny and Giovanni Urga
| Year of publication: |
2022
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|---|---|
| Authors: | Boffelli, Simona ; Novotný, Jan ; Urga, Giovanni |
| Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 20.2022, 4, p. 681-715
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| Subject: | coarrivals | cojumps | European government yields | macrofactors | macroannounce-ments | Auctions | Unconventional Monetary Policy Announcements | EU-Staaten | EU countries | Ankündigungseffekt | Announcement effect | Geldpolitik | Monetary policy | Eurozone | Euro area | Rentenmarkt | Bond market | Öffentliche Anleihe | Public bond | Zinsstruktur | Yield curve | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbaa039 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013349151