Sovereign bond market shock spillover over different maturities: a journey from normal to Covid-19 period

DOI10.1007/S10690-022-09371-XOpenAlexW4225278674MaRDI QIDQ2686281

Sanjay Kumar Rout, Hrushikesh Mallick

Publication date: 24 February 2023

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-022-09371-x

zbMATH Keywords

rolling windowCovid-19 pandemicDiebold and Yilmaz approachinternational sovereign bond marketsshock spillovers

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
• Impulse response analysis in nonlinear multivariate models
• Generalized impulse response analysis in linear multivariate models
• Sovereign Bond Spread Drivers in the EU Market in the Aftermath of the Global Financial Crisis

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