Baum, Christopher; Karpava, Margarita; Schäfer, Dorothea; … - EcoMod Network - 2014
This paper studies the impact of credit rating agency (CRA) downgrade announcements on the value of the Euro and the yields of French, Italian, German and Spanish long-term sovereign bonds during the culmination of the Eurozone debt crisis in 2011-2012.GARCH modeling of sovereign bond yields and...