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European government bond market integration in turbulent times
Helena Chuliá / Pilar Abad
regressionResource overview

European government bond market integration in turbulent times

Paper2014

by Helena Chuliá, Pilar Abad

Tags
regression

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Suggested foundations for financial time series and rates and fixed income. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

  3. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  4. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

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  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

  3. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

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