As HighVoltage mentioned, the frequency of use, dc or ac is quite important here. Note that most HV cables you'll find on farnell, etc... specify the DC rating not the AC. Sometimes they don't say, and they mean DC.
If you want to be on the safe side, with very low capacitive loss, go for used x-ray tube cables, rated for 75kV. Probably thicker than you want as these also include filament wires inside.