Caporale, Guglielmo Maria; Spagnolo, Fabio; Spagnolo, Nicola - 2014
German Bund and on sovereign bonds in eight countries belonging to the euro area (Belgium, France, Greece, Ireland, Italy … reaction has increased during the recent financial crisis. News volatility has a significant impact on yield spread volatility … positive, and their increase in absolute value during the financial crisis (especially in the PIIGS countries) indicates a …