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Export Reference (APA) 
Ribeiro, P. P., Cermeño, R. & Curto, J. D. (2017). Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries. Finance Research Letters. 21, 107-114
Export Reference (IEEE) 
P. M. Ribeiro et al.,  "Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries", in Finance Research Letters, vol. 21, pp. 107-114, 2017
Export BibTeX 
@article{ribeiro2017_1765576116190,
	author = "Ribeiro, P. P. and Cermeño, R. and Curto, J. D.",
	title = "Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries",
	journal = "Finance Research Letters",
	year = "2017",
	volume = "21",
	number = "",
	doi = "10.1016/j.frl.2016.11.011",
	pages = "107-114",
	url = "http://www.sciencedirect.com/science/article/pii/S1544612316302999?via%3Dihub"
}
Export RIS 
TY  - JOUR
TI  - Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries
T2  - Finance Research Letters
VL  - 21
AU  - Ribeiro, P. P.
AU  - Cermeño, R.
AU  - Curto, J. D.
PY  - 2017
SP  - 107-114
SN  - 1544-6123
DO  - 10.1016/j.frl.2016.11.011
UR  - http://www.sciencedirect.com/science/article/pii/S1544612316302999?via%3Dihub
AB  - This paper investigates, over 2007.01–2016.06, the determinants of six euro area sovereign bond yield spreads through original Panel-GARCH models that incorporate key features of volatility dynamics, such as extreme persistence, asymmetry and risk premia effects. Overall, EMU sovereign bond yield spreads are markedly geared by differences in creditworthiness and liquidity and also tend to reflect economic conditions and agents’ risk appetite. Moreover, we find significant and quite persistent conditional volatility, and there is evidence that higher yield spreads become less predictable, although the presence of asymmetric effects on the volatility process seems negligible. Definitely, these results have important policy implications.
ER  -