Sovereign credit ratings, market volatility, and financial gains
Year of publication: |
2014-03
|
---|---|
Authors: | Afonso, António ; Gomes, Pedro ; Taamouti, Abderrahim |
Institutions: | European Central Bank |
Subject: | EGARCH | financial gain | optimal portfolio | risk management | sovereign ratings | stock market returns | value-at-risk | volatility | yields |
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