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| Tekijä: | Annaert, J. Claes, A.G.P. Ceuster, M.J.K. de |
| Otsikko: | Intertemporal stability of the European credit spread co-movement structure |
| Lehti: | European Journal of Finance
2006 : JAN, VOL. 12:1, p. 23-32 |
| Asiasana: | finance bonds credit risk Europe |
| Kieli: | eng |
| Tiivistelmä: | Based on the EMU Broad Market indices, this paper reports studies of the intertemporal stability of the covariance (here as: cov./covs.) and correlation (as: corr./corrs.) matrices of credit spread (as: cr-spr.) changes on weekly data. For a multivariate framework, the Box and Jennrich tests are the most commonly used test statistics. However, it is shown that for small samples these tests are not well specified. A bootstrap-based statistical inference provides evidence that corrs. and covs. btw. various cr-spr. changes are unstable over the 1998-2003 period. |
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