Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis

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Volatility spillovers across global asset classes: Evidence from time and frequency domains (2018, background): “1 An important research topic in the literature is the analysis of international volatility spillovers (see for example, Dungey and Martin, 2007; Morana and Beltratti, 2008; Diebold and Yilmaz, 2009; Duncan and Kabundi, 2014; Ehrmann et al., 2011; Bayoumi and Bui, 2012; Antonakakis and Vergos, 2013;”
Refined Measures of Dynamic Connectedness based on TVP-VAR (2017, background): “…and bond yields spillovers (see, inter alia, McMillan and Speight, 2010; Yilmaz, 2010; Bubák et al., 2011; Antonakakis, 2012; Zhou et al., 2012; Antonakakis and Vergos, 2013; Antonakakis and Badinger, 2014; Narayan et al., 2014; Bostanci and Yilmaz, 2015; Diebold and Yılmaz, 2015; Diebold and…”
Exploring the dynamic relationships between cryptocurrencies and other financial assets (2018, methodology): “, Antonakakis and Vergos [2013] ;Batten et al. [2014]; Lucey et al. [2014] ; Balli et al. [2015],Yarovaya et al. [2016], Chau and Deesomsak [2014]. FernÃąndez-RodrÃŋguez et al. [2016]). Using similar notations as Lau et al. [2017],the DY framework can be described as follows. Consider a covariance s”