High- and low-frequency correlations in European government bond spreads and their macroeconomic drivers
Simona Boffelli, Vasiliki D. Skintzi, and Giovanni Urga
| 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 | Korrelation | Correlation | Zinsstruktur | Yield curve | EU-Staaten | EU countries | Risikoprämie | Risk premium | Anleihe | Bond | Kreditrisiko | Credit risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbv023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011658739