Sovereign credit ratings, market volatility, and financial gains

DOI10.1016/J.CSDA.2013.09.028MaRDI QIDQ1623504zbMATH OpenOpenAlexFDO

Authors António Afonso, Abderrahim Taamouti, Pedro R. S. Gomes

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2013.09.028

zbMATH Keywords

EGARCHfinancial gainoptimal portfoliorisk managementsovereign ratingsstock market returnsvalue-at-riskvolatilityyields

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Identifying financial time series with similar dynamic conditional correlation
• Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
• Portfolio construction and risk budgeting
• Volatility spillovers, interdependence and comovements: a Markov switching approach

Cited in

(9)

• Novel approaches on sovereign credit ratings
• The effects of credit rating announcements on bond liquidity: an event study
• The effect of credit rating events on the emerging CDS market
• Estimation of distress costs associated with downgrades using regime-switching models
• Sovereign Credit Quality and Violations of the Law of One Price
• Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx
• Time-varying volatility, default, and the sovereign risk premium
• The impact of a rating agency's private information and disclosed causes of rating downgrades on insurer stock returns
• Do sovereign credit ratings matter for corporate credit ratings?

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