TIME-VARYING INTEGRATION IN EUROPEAN GOVERNMENT BOND MARKETS

@inproceedings{Abad2011TIMEVARYINGII,
  title={TIME-VARYING INTEGRATION IN EUROPEAN GOVERNMENT BOND MARKETS},
  author={Pilar Abad and Helena Chuli{\'a} and Marta G{\'o}mez-Puig},
  year={2011}
}
Bond market integration clearly changes with economic and financial conditions since the level of risk aversion changes and investors require time varying compensation for accepting a risky payoff from financial assets. In this paper we examine the dynamic behavior of European Government bond markets integration using an asset pricing model based on that of Bekaert and Harvey (1995). Our sample period begins in 2004 after a period of calm and tranquility and ends in 2009 with a significantly… CONTINUE READING

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