Dynamic integration and network structure of the EMU sovereign bond markets

DOI10.1007/s10479-018-2831-1zbMath1430.91114OpenAlexW2795884122WikidataQ130017518 ScholiaQ130017518MaRDI QIDQ2288911

Ahmet Sensoy, Duc Khuong Nguyen, Erk Hacihasanoglu, Ahmed Rostom

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/53000

zbMATH Keywords

monetary policynetwork analysistaperingsovereign debteuropean economic and monetary union

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Derivative securities (option pricing, hedging, etc.) (91G20) Financial networks (including contagion, systemic risk, regulation) (91G45)

Related Items (6)

A tale of two risks in the EMU sovereign debt markets ⋮ Governed by the cycle: interest rate sensitivity of emerging market corporate debt ⋮ Transmission of the Greek crisis on the sovereign debt markets in the euro area ⋮ Spatial contagion between financial markets: new evidence of asymmetric measures ⋮ Coherence, connectedness, dynamic linkages among oil and China's sectoral commodities with portfolio implications ⋮ Volatility impacts on the European banking sector: GFC and COVID-19

Cites Work

• Using penalized contrasts for the change-point problem
• Financial networks with intermediation: risk management with variable weights
• Cluster analysis for portfolio optimization
• A network analysis of the Italian overnight money market
• Overlapping portfolios, contagion, and financial stability
• Systemic risk mitigation in financial networks

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