Volatility Spillovers and Dynamic Correlation in European Bond Markets

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EMU and European Government Bond Market Integration (2010, unknown): “…(see Cifarelli and Paladino, 2006), and on volatility spillovers in international bond markets (see Cappiello et al. (2003), Christiansen (2003), or Skintzi and Refenes (2006), among others) Little has been written on the sources of co-movements in Government bond markets in the European context.”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, background): “This issue has been extensively investigated in the context of international asset markets (e.g., Forbes and Rigobon, 2002; Syriopoulos, 2007 for stock markets; Barassi et al., 2005; Wang et al., 2007 for monetary markets; and Skintzi and Refenes, 2006; Johansson, 2008 for bond markets).”
Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis (2013, unknown): “Skintzi and Refenes (2006) find that price and volatility spillover coefficients increase from January 1999 to 2001.”
The European Bond Markets Under Emu (2004, unknown): “For the four European non-EMU countries in the sample, they find no spillovers for returns, but volatility spillovers into the series for Denmark, Sweden, and the UK. Concerning the impact of the US series (modelled as an exogenous factor), Skintzi and Refenes (2004) find an impact on returns with”