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

Silvio Contessi; Pierangelo De Pace; Massimo Guidolin

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
Subject:	Yield spreads \| Correlations \| Breakpoint tests \| Nonparametric bootstrap \| Credit risk \| Liquidity risk \| Kreditrisiko \| Zinsstruktur \| Yield curve \| Finanzkrise \| Financial crisis \| Korrelation \| Correlation \| USA \| United States \| Risikoprämie \| Risk premium \| Kapitaleinkommen \| Capital income \| Bootstrap-Verfahren \| Bootstrap approach \| Öffentliche Anleihe \| Public bond \| Liquidität \| Liquidity

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