Contagion effects during financial crisis: Evidence from the Greek sovereign bonds market

•Estimation of contagion effects from the 10 year Greek government bond yields.•We estimate an EGARCH model, Forbes and Rigobon (2002) model and the cDCC model.•Non linear cDCC model as a test of structural breaks in the correlation dynamics.•We find no evidence of contagion effects from Greece.

In this study, we test for the possible contagion effects of the 10-year Greek government bond yield. We first employ the well-documented adjusted correlation coefficient of Forbes and Rigobon (2002) and then we estimate an exponential generalized autoregressive conditional heteroskedasticity model extended for volatility spillovers. Finally, we propose an extension of the corrected Dynamic Conditional Correlation (cDCC) model, which allows for structural breaks in the correlation dynamics. The suggested cDCC specification provides a natural testing framework for the correlation contagion hypothesis. Compared with other similar approaches, the proposed structural break cDCC approach allows for consistent inferences. The results do not confirm any contagious effects stemming from the 10-year Greek sovereign bond.