Contessi, Silvio; De Pace, Pierangelo; Guidolin, Massimo - In: Journal of Empirical Finance 28 (2014) C, pp. 362-385
We investigate the pairwise correlations of eleven U.S. fixed income yield spreads over a sample that includes the Great Financial Crisis of 2007–09. Using cross-sectional methods and nonparametric bootstrap breakpoint tests, we characterize the crisis as a period in which pairwise...