Causality-in-Variance and Causality-in-Mean among European Government Bond Markets

Posted: 2 Mar 2009

See all articles by James F. Refalo

James F. Refalo

California State University, Los Angeles

Date Written: August 18, 2007

Abstract

This paper examines causality in volatility spillover (causality-in-variance) for the six major European government bond markets. Using tests of temporal causality and directed acyclic graphs, we find evidence of contemporaneous causality-in-variance, indicating that volatility spillover in the government bond markets is a short-lived phenomenon. However, we find no evidence of contemporaneous causality-in-mean for bond index returns. The tests reveal that the markets are bi-directionally linked, and reasonably well integrated.

Keywords: Bond, Causality-in-variance, Directed Acyclic Graphs, DAG, Volatility Spillover

JEL Classification: G15, C32

Suggested Citation

Refalo, James F., Causality-in-Variance and Causality-in-Mean among European Government Bond Markets (August 18, 2007). Applied Financial Economics, Vol. 18, No. 21, 2008, Available at SSRN: https://ssrn.com/abstract=1345477

James F. Refalo (Contact Author)

California State University, Los Angeles ( email )

Los Angeles, CA
United States

HOME PAGE: http://instructional1.calstatela.edu/jrefalo/

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