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Sovereign credit ratings, market volatility, and financial gains : N°1654, March 2014
Afonso, António (contributor); Gomes, Pedro (contributor);  … - European Central Bank - 2014
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 filtered using EGARCH specifications. The estimation...
Persistent link: https://www.econbiz.de/10015301794
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What drives international equity correlations? : volatility or market direction?
Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges - 2009
Persistent link: https://www.econbiz.de/10003971756
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What drives international equity correlations? : volatility or market direction?
Amira, Khaled; Taamouti, Abderrahim; Tsafack, Georges - In: Journal of international money and finance 30 (2011) 6, pp. 1234-1263
Persistent link: https://www.econbiz.de/10009373944
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
Persistent link: https://www.econbiz.de/10010380053
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Do investors price industry risk? : evidence from the cross-section of the oil industry
Ramos, Sofia B.; Taamouti, Abderrahim; Veiga, Helena; … - In: The journal of energy markets 10 (2017) 1, pp. 79-108
Persistent link: https://www.econbiz.de/10011999412
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António; Gomes, Pedro; Taamouti, Abderrahim - 2014
Persistent link: https://www.econbiz.de/10011554962
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Sovereign Credit Ratings, Market Volatility, and Financial Gains
Afonso, António - 2014
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 filtered using EGARCH specifications. The estimation...
Persistent link: https://www.econbiz.de/10013057674