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The Impact of News and the SMP on Realized (Co)Variances in the Eurozone Sovereign Debt Market

Beetsma, Roel - 2014

We use realised variances and co-variances based on intraday data from Eurozone sovereign bond market to measure the dependence structure of eurozone sovereign yields. Our analysis focuses on the impact of news, obtained from the Eurointelligence newsflash, on the dependence structure. More news...

Persistent link: https://www.econbiz.de/10013060538

The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market

Beetsma, Roel; Jong, Frank de; Giuliodori, Massimo; … - 2014

Persistent link: https://www.econbiz.de/10010239900

Price effects of sovereign debt auctions in the euro-zone : the role of the crisis

Beetsma, Roel; Jong, Frank de; Giuliodori, Massimo; … - 2013

Persistent link: https://www.econbiz.de/10010193399

The impact of news and the SMP on realized (co)variances in the eurozone sovereign debt market

Beetsma, Roel; Jong, Frank de; Giuliodori, Massimo; … - 2014

Persistent link: https://www.econbiz.de/10010342542

Domestic and cross-border auction cycle effects of sovereign bond issuance in the euro area

Beetsma, Roel; Giuliodori, Massimo; Jong, Frank de; … - 2016

Persistent link: https://www.econbiz.de/10011447845

Price effects of sovereign debt auctions in the euro-zone : the role of the crisis

Beetsma, Roel; Giuliodori, Massimo; Jong, Frank de; … - In: Journal of financial intermediation 25 (2016), pp. 30-53

Persistent link: https://www.econbiz.de/10011714683

Realized (co)variances of eurozone sovereign yields during the crisis : the impact of news and the securities markets programme

Beetsma, Roel; Jong, Frank de; Giuliodori, Massimo; … - In: Journal of international money and finance 75 (2017), pp. 14-31

Persistent link: https://www.econbiz.de/10011788018

The maturity of sovereign debt issuance in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - 2019

Persistent link: https://www.econbiz.de/10012161601

Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - In: Journal of empirical finance 58 (2020), pp. 96-120

Persistent link: https://www.econbiz.de/10012430666

The maturity of sovereign debt issuance in the euro area

Beetsma, Roel; Giuliodori, Massimo; Hanson, Jesper; … - In: Journal of international money and finance 110 (2021), pp. 1-22

Persistent link: https://www.econbiz.de/10012795420

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