Sovereign credit ratings, market volatility, and financial gains

Antonio Afonso, Pedro Gomes and Abderrahim Taamouti

No 1654, Working Paper Series from European Central Bank

Abstract: The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor JEL Classification: C22, C23, E44, G11, G15, H30

Keywords: EGARCH; financial gain; optimal portfolio; risk management; sovereign ratings; stock market returns; value-at-risk; volatility; yields (search for similar items in EconPapers)
Date: 2014-03
New Economics Papers: this item is included in nep-eec and nep-fmk
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Citations: View citations in EconPapers (24)

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Related works:
Journal Article: Sovereign credit ratings, market volatility, and financial gains (2014)
Working Paper: Sovereign credit ratings, market volatility, and financial gains (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20141654

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