Sovereign credit ratings, market volatility, and financial gains (Q1623504): Difference between revisions

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Property / DOI: 10.1016/j.csda.2013.09.028 / rank
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Property / author: Pedro R. S. Gomes / rank
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Property / author: Pedro R. S. Gomes / rank
 
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Property / full work available at URL: https://doi.org/10.1016/j.csda.2013.09.028 / rank
 
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Property / OpenAlex ID: W2139389379 / rank
 
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Property / cites work: Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion / rank
 
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Property / cites work: Volatility spillovers, interdependence and comovements: a Markov switching approach / rank
 
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Property / cites work
 
Property / cites work: Conditional Heteroskedasticity in Asset Returns: A New Approach / rank
 
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Property / cites work
 
Property / cites work: Identifying financial time series with similar dynamic conditional correlation / rank
 
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Property / cites work
 
Property / cites work: Q3059733 / rank
 
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Property / DOI
 
Property / DOI: 10.1016/J.CSDA.2013.09.028 / rank
 
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Latest revision as of 23:17, 10 December 2024

scientific article
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English
Sovereign credit ratings, market volatility, and financial gains
scientific article

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    Sovereign credit ratings, market volatility, and financial gains (English)
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    23 November 2018
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    sovereign ratings
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    yields
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    stock market returns
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    volatility
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    EGARCH
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    optimal portfolio
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    financial gain
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    risk management
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    value-at-risk
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    Identifiers