Cronin, David - In: Intereconomics: Review of European Economic Policy 49 (2014) 4, pp. 212-220
Applying a t-DCC-GARCH model to daily spread data, four phases of interaction in euro area sovereign bond markets are identifi ed between January 2008 and June 2013. The initial period (January-October 2008) is followed by a general rise in pairwise correlation values between November 2008 and...