Sovereign credit ratings, market volatility, and financial gains

DOI10.1016/J.CSDA.2013.09.028zbMath1506.62007OpenAlexW2139389379MaRDI QIDQ1623504

Abderrahim Taamouti, António Afonso, 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

value-at-riskoptimal portfoliovolatilityrisk managementEGARCHstock market returnsyieldsfinancial gainsovereign ratings

Mathematics Subject Classification ID

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

Cites Work

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

This page was built for publication: Sovereign credit ratings, market volatility, and financial gains