Dedu, Vasile; Mihai, Irina; Neagu, Florian - In: Journal for Economic Forecasting (2010) 2, pp. 265-279
We investigate the sovereign spreads behavior of the European emerging countries using the clustering technique. Our main finding is that the distances between spreads during high volatile times is significantly lower than in normal periods, that is, the correlation is much higher. Secondly, the...