This paper investigates if changes in network connectedness of European sovereign bond markets from 2005 to 2011 was an indicator of the subsequent financial crisis. The unified methodology proposed by Diebold and Yilmaz (2014) is used to overcome weaknesses in alternative methodologies to...

One of the biggest challenges of keeping Euro area financial stability is the negative comovement between the vulnerability of public finance, the financial sector, security markets stresses as well as economic growth, especially in peripheral economies. This paper utilities a ARMA-GARCH based...

The impact of trades on price dynamics in the European sovereign debt markets is of significant importance to policy makers and market participants. This paper uses high-frequency quote and transaction data from the MTS European sovereign bond inter-dealer platform to investigate...