High- and low-frequency correlations in European government bond spreads and their macroeconomic drivers
Year of publication: |
2017
|
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Authors: | Boffelli, Simona ; Skintzi, Vasiliki D. ; Urga, Giovanni |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 15.2017, 1, p. 62-105
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Subject: | correlations | DECO | government bond spreads | high-frequency MIDAS models | macroeconomic variables | volatilities | Öffentliche Anleihe | Public bond | Volatilität | Volatility | Zinsstruktur | Yield curve | Korrelation | Correlation | EU-Staaten | EU countries | Börsenkurs | Share price |
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