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.