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~institution:"European Central Bank"
~institution:"School of Economics and Political Science, Universität St. Gallen"
~person:"Afonso, António"
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Extremal behavior of finite EG...
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EGARCH
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financial gain
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optimal portfolio
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risk management
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sovereign ratings
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stock market returns
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value-at-risk
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volatility
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yields
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Afonso, António
Audrino, Francesco
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Bühlmann, Peter
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Engle, Robert F.
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Gomes, Pedro
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Mancini, Loriano
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Manganelli, Simone
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European Central Bank
School of Economics and Political Science, Universität St. Gallen
ISEG - School of Economics and Management, Department of Economics, University of Lisbon
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Sovereign credit ratings, market volatility, and financial gains
Afonso, António
;
Gomes, Pedro
;
Taamouti, Abderrahim
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European Central Bank
-
2014
filtered using
EGARCH
specifications. The estimation results show that upgrades do not have significant effects on volatility …
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