IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-3-319-05014-0_8.html
   My bibliography  Save this book chapter

Evaluating Correlations in European Government Bond Spreads

In: Mathematical and Statistical Methods for Actuarial Sciences and Finance

Author

Listed:
  • Simona Boffelli

    (Università degli Studi di Bergamo)

  • Giovanni Urga

    (Università degli Studi di Bergamo
    Cass Business School)

Abstract

We propose a DCC-MIDAS model to estimate high- and low-frequency correlations in the 10-year government bond spreads. The high-frequency component, reflecting financial market conditions, is evaluated at 15-minute frequency, while the low-frequency one, fixed through a month, depends on country specific macroeconomic fundamentals. Although macroeconomic factors contribute in explaining volatilities and correlations, the increasing correlation in spreads during the pick of the sovereign debt crisis cannot be completely ascribed to macroeconomic factors.

Suggested Citation

  • Simona Boffelli & Giovanni Urga, 2014. "Evaluating Correlations in European Government Bond Spreads," Springer Books, in: Cira Perna & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, edition 127, pages 35-39, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-05014-0_8
    DOI: 10.1007/978-3-319-05014-0_8
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-3-319-05014-0_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.