The recent interest in portfolio credit risk modelling has concentrated attention on the correlation structure of credit risk. This paper calculates long-holding period correlations for emerging market sovereign spreads and compares these with the correlations of equity market indices for the...

Sample volatilities calculated from short-interval (daily) data do not necessarily imply much about volatility of financial assets over long (yearly) horizons. In this note we construct a model-free volatility estimator to investigate the long horizon volatility of various short-term interest...