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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

Corporate bond market interdependence : credit spread correlation between and within U.S. and Canadian corporate bond markets

Champagne, Claudia; Coggins, Frank; Sodjahin, Amos - In: The North American journal of economics and finance : a … 41 (2017), pp. 1-17

Persistent link: https://www.econbiz.de/10011878922

Commonality in liquidity in the US corporate bond market

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 86-129). 2016

Persistent link: https://www.econbiz.de/10011733594

Forecasting the US term structure of interest rates using nonparametric functional data analysis

Caldeira, João F.; Torrent, Hudson da Silva - In: Journal of forecasting 36 (2017) 1, pp. 56-73

Persistent link: https://www.econbiz.de/10011729058

Codependence and cointegration

Trenkler, Carsten; Weber, Enzo - 2009

Persistent link: https://www.econbiz.de/10003908288

Testing for codependence of non-stationary variables

Trenkler, Carsten; Weber, Enzo - 2010

Persistent link: https://www.econbiz.de/10008697059

Dynamic correlation analysis of spill-over effects of interest rate risk and return on Australian and US financial firms

Akhtaruzzaman, Md.; Shamsuddin, Abul; Easton, Steve - In: Journal of international financial markets, … 31 (2014), pp. 378-396

Persistent link: https://www.econbiz.de/10011299306

Identifying time variability in stock and interest rate dependence

Stein, Michael; Islami, Mevlud; Lindemann, Jens - 2012

The correlation between stock markets and interest rates has been discussed in numerous studies in the past, with … which allow for time-variability and regime changes in correlation. All estimated models allowing for timevarying … correlation complement each other in identifying time-varying patterns found in the (co-)movement between the variables …

Persistent link: https://www.econbiz.de/10009625556

Testing for codependence of cointegrated variables

Trenkler, Carsten; Weber, Enzo - In: Applied economics 45 (2013) 13/15, pp. 1953-1964

Persistent link: https://www.econbiz.de/10009758484