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Ngene, Geoffrey; Carley, Hannah; Hassan, Mohammad Kabir - In: Journal of derivatives & hedge funds 20 (2014) 1, pp. 10-27

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Greek sovereign bond index, volatility, and structural breaks

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Predictive model averaging with parameter instability and heteroskedasticity

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Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - 2013

This study tests for a break in the persistence of EMU government bond yield spreads examining data from France, Italy and Spain and using German interest rates as a kind of benchmark. The results reported here provide evidence for breaks between 2006 and 2008. The persistence of the yield...

Persistent link: https://www.econbiz.de/10010239739

The European financial crisis : a challenge for ten-year German government bond yield forecasts?

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Credit risk-free sovereign bonds under Solvency II : a cointegration analysis with consistently estimated structural breaks

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Persistent link: https://www.econbiz.de/10010402551

Testing for a break in the persistence in yield spreads of EMU government bonds

Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - In: Journal of banking & finance 41 (2014), pp. 109-118

Persistent link: https://www.econbiz.de/10010408487