How did the financial crisis alter the correlations of US yield spreads?
Year of publication: |
2014
|
---|---|
Authors: | Contessi, Silvio ; De Pace, Pierangelo ; Guidolin, Massimo |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 28.2014, p. 362-385
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Subject: | Yield spreads | Correlations | Breakpoint tests | Nonparametric bootstrap | Credit risk | Liquidity risk | Kreditrisiko | Zinsstruktur | Yield curve | Finanzkrise | Financial crisis | USA | United States | Korrelation | Correlation | Bootstrap-Verfahren | Bootstrap approach | Kapitaleinkommen | Capital income | Liquidität | Liquidity | Risikoprämie | Risk premium | Nichtparametrisches Verfahren | Nonparametric statistics |
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