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Essays in financial economics

Greenwood, Robin - 2002

Persistent link: https://www.econbiz.de/10003779960

Are the risk-free interest rates correlated with sovereign default intensities?

Kagraoka, Yusho - In: The journal of fixed income 28 (2019) 4, pp. 91-103

Persistent link: https://www.econbiz.de/10012251389

How did the financial crisis alter the correlations of US yield spreads?

Contessi, Silvio; De Pace, Pierangelo; Guidolin, Massimo - In: Journal of empirical finance 28 (2014), pp. 362-385

Persistent link: https://www.econbiz.de/10011285619

Economic linkages, relative scarcity, and commodity futures returns

Casassus, Jaime; Liu, Peng; Tang, Ke - In: The review of financial studies 26 (2013) 5, pp. 1324-1362

Persistent link: https://www.econbiz.de/10009752184

How did the financial crisis alter the correlations of U.S. yield spreads?

Contessi, Silvio; De Pace, Pierangelo; Guidolin, Massimo - 2013

Persistent link: https://www.econbiz.de/10009704261

How Did the Financial Crisis Alter the Correlations of U.S. Yield Spreads?

Contessi, Silvio - 2014

We investigate the pairwise correlations of 11 U.S. fixed income yield spreads over a sample that includes the Great Financial Crisis of 2007-2009. Using cross-sectional methods and nonparametric bootstrap breakpoint tests, we characterize the crisis as a period in which pairwise correlations...

Persistent link: https://www.econbiz.de/10013064639