Time varying contagion in EMU government bond spreads

Autor: Philip Bertram, Christian Leschinski

Publikováno v: Journal of Financial Stability. 29:72-91

We analyze the time varying behavior of pure contagion effects between Economic and Monetary Union (EMU) government bond spreads before and during the subprime mortgage crisis and the EMU debt crisis. By conducting a rolling window analysis, we are a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::ca1f2c80b956bd6d8b7830c83f026513
https://doi.org/10.1016/j.jfs.2017.01.007

Fractional integration versus level shifts:The case of realized asset correlations

Autor: Robinson Kruse, Philipp Sibbertsen, Philip Bertram

Publikováno v: Bertram, P, Kruse, R & Sibbertsen, P 2013, ' Fractional integration versus level shifts : The case of realized asset correlations ', Statistical Papers, vol. 54, no. 4, pp. 977-991 . https://doi.org/10.1007/s00362-013-0513-2

Long memory has been widely documented for realized financial market volatility. As a novelty, we consider daily realized asset correlations and we investigate whether the observed persistence is (i) due to true long memory (i.e. fractional integrati

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2f0aa8d39065f88bb0d552f4a6692a4d
https://pure.au.dk/portal/da/publications/fractional-integration-versus-level-shifts(87411db4-8a8c-4b42-94ed-363afe701a78).html