This paper investigates the dynamics of international government bond market integration in
six of the G7 economies over two decades leading up to the global crisis. It examines …

This paper investigates the linkages in the sovereign bond yields across different maturity
spectrums among both developed and Asian countries. Term structure of interest rate is …

We investigate correlation dynamics and diversification properties of US dollar-denominated
debt issued by governments of frontier markets. Our analysis is on the aggregate, regional …

Purpose This paper aims at looking into the transmission of shocks between bond and oil
markets using a bivariate GARCH (BEKK and DCC) model. As lots of financial assets have …

NIKIFOROST. LAOPODIS t is known that international diversifica-tion benefits depend upon
the degree of strength or the correlation among the asset classes in a portfolio. In addition …

The authors find that credit spreads are related to market liquidity, best represented by total
proceeds, ratings and the interaction between maturity and rating. The authors control for …

A s international equity markets have become more integrated during the past several
decades, so have capital markets for corporate loans and bonds. This has been due in large …

This paper extends research concerned with the evaluation of co-movement and
correlations in international fixed income markets by examining dynamic linkages in three …

Purpose: The purpose of the paper is to investigate the global and regional influences on
the domestic term structure of nine Asian economies. Design/Methodology/Approach: The …

Purpose The purpose of the paper is to investigate the global and regional influences on the
domestic term structure of nine Asian economies. Design/methodology/approach The …