Title: Periodic dynamic conditional correlations in bond markets
Authors: Christos Savva - Cyprus University of Technology (Cyprus) [presenting]
Nektarios Michail - Cyprus University of Technology (Cyprus)
Demetris Koursaros - Cyprus University of Technology (Cyprus)
Abstract: The dynamic conditional correlation model of Engle is extended building on a previous extension to allow periodic day specific conditional correlations of shocks across international bond markets. When applied to the intra-week interactions among bond markets around the globe, over the period from 1999 2019, we find very strong evidence of periodic conditional correlations for the shocks.