Measuring Systematic Risk in EMU Government Yield Spreads

This paper focuses on the joint dynamics of yield spreads derived from government bonds issued by member states of the European Monetary Union (EMU). A descriptive analysis shows that there are substantial and volatile spreads between zero coupon yields of EMU member countries and German Bund yields...

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Bibliographic details
Volume: 8
Main Author: Geyer, Alois
Kossmeier, Stephan
Pichler, Stefan
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Dordrecht Kluwer Academic Publishers 01.06.2004
Oxford University Press
published in: European Finance Review Vol. 8; no. 2; pp. 171 - 197
Data of publication: 20040600
ISSN: 1572-3097
EISSN: 1573-692X
Discipline: Business
Online Access: Fulltext
Database: CrossRef
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