Research Article
Are Eurozone Fixed Income Markets Integrated? An Analysis Based on Wavelet Multiple Correlation and Cross Correlation
Table 3
Wavelet multiple correlation and multiple cross correlation within 95% confidence intervals.
| Scales↓ | Lower | Cor | Upper | Lower | Cor | Upper | Lower | Cor | Upper | Lower | Cor | Upper | Lower | Cor | Upper |
| Lags→ | −10 | −5 | 0 | +5 | +10 | | 0.16 | 0.38 | 0.57 | 0.22 | 0.43 | 0.60 | 0.96 | 0.97 | 0.98 | −0.03 | 0.19 | 0.41 | −0.01 | 0.21 | 0.42 | | 0.11 | 0.43 | 0.66 | 0.35 | 0.61 | 0.78 | 0.97 | 0.98 | 0.99 | 0.18 | 0.48 | 0.70 | 0.00 | 0.33 | 0.60 | | 0.06 | 0.53 | 0.80 | 0.40 | 0.73 | 0.89 | 0.99 | 0.99 | 0.99 | 0.35 | 0.71 | 0.88 | 0.05 | 0.52 | 0.80 | | 0.61 | 0.92 | 0.98 | 0.53 | 0.89 | 0.98 | 0.99 | 0.99 | 0.99 | 0.34 | 0.84 | 0.97 | −0.03 | 0.68 | 0.93 |
| Lags→ | −20 | −15 | 0 | +15 | +20 | | −0.00 | 0.23 | 0.44 | 0.18 | 0.40 | 0.58 | 0.96 | 0.97 | 0.98 | 0.17 | 0.39 | 0.51 | 0.09 | 0.32 | 0.51 | | 0.18 | 0.48 | 0.70 | 0.15 | 0.46 | 0.68 | 0.97 | 0.98 | 0.99 | 0.26 | 0.55 | 0.67 | 0.12 | 0.44 | 0.67 | | 0.31 | 0.68 | 0.87 | 0.15 | 0.59 | 0.83 | 0.99 | 0.99 | 0.99 | 0.41 | 0.74 | 0.92 | 0.52 | 0.80 | 0.92 | | 0.54 | 0.90 | 0.98 | 0.32 | 0.83 | 0.96 | 0.99 | 0.99 | 0.99 | 0.13 | 0.76 | 0.96 | 0.32 | 0.83 | 0.96 |
|
|
Cor = correlation coefficient, Lower = lower bound of 95% confidence Interval, Upper = upper bound of 95% confidence interval.
|