FTSE MIB index and its volatility, is examined using a trivariate Vector Autoregressive model, taking into account the …

We use a Smooth Transition Conditional Correlation GARCH (STCC-GARCH) model applied to the euro area monetary policy … above which the sovereign bond market moves to a crisis regime. We show that the threshold to a crisis regime for Italy and … amount to 120-130 basis points or (iii) the 5-year spread between the Kreditanstalt für Wiederaufbau (KfW) bond and the …

The global financial crisis rapidly spread across borders and financial markets, and also distressed EU bond markets … sovereign bond markets using a factor-augmented version of the VAR model in Diebold and Yilmaz (2009). We then provide a novel …

interventions succeeded in reducing yields and volatility of government bond segments of the countries under the programme. Finally … bias downwards the correlation between yields and the amounts of bonds purchased. Simple regression of daily changes in … Programme and sovereign bond quotes to address the endogeneity issues. We propose an econometric model that considers …

returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …