The impact of EMU on bond yield convergence: evidence from a time-varying dynamic factor model

DOI10.1016/J.JEDC.2017.06.008zbMath1401.91526OpenAlexW2730717850MaRDI QIDQ1655702

Jun Ma, N. Kundan Kishor, Vipul Bhatt

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.06.008

zbMATH Keywords

dynamic factor modelEuropean monetary unioninternational financebond yields convergence

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Credit risk (91G40)

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Cites Work

• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models

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