ANNAERT, Jan; CLAES, Anouk G.P.; CEUSTER, Marc J.K. DE - Faculteit Toegepaste Economische Wetenschappen, … - 2002
Corporate bonds expose the investor to credit risk, which will be reflected in the credit spread. Based on the EMU Broad Market indices, we study the inter-temporal stability of the covariance and correlation matrices of credit spread changes. Within a multivariate framework, the Box and...