Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - European Central Bank - 2014
for portfolio returns when taking into account sovereign credit ratings’ information for volatility modelling, with …The reaction of EU bond and equity market volatilities to sovereign rating announcements (Standard & Poor’s, Moody …’s, and Fitch) is investigated using a panel of daily stock market and sovereign bond returns. The parametric volatilities are …