Investigating the muti-scaling properties and connectedness of the sovereign bond yields: Hurst exponent and network analysis approach

Using daily yield data of 14 sovereign bond markets from emerging and developed economies from July 10, 2000, to July 10, 2022, we examine their scaling properties using generalized Hurst exponent and spectral density analysis and investigate the connectedness based on a network analysis approach. W...

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Detalles Bibliográficos
Autores principales: Das, Santanu, Pan, Aritra, Jain, Nikunj Kumar
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10250760/
https://www.ncbi.nlm.nih.gov/pubmed/37303536
http://dx.doi.org/10.1016/j.heliyon.2023.e16666

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10250760/
https://www.ncbi.nlm.nih.gov/pubmed/37303536
http://dx.doi.org/10.1016/j.heliyon.2023.e16666

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