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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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Sovereign Credit Ratings, Market Volatility, and Financial Gains
Afonso, António - 2014
filtered using EGARCH specifications. The estimation results show that upgrades do not have significant effects on volatility …, but downgrades increase stock and bond market volatility. Contagion is present, with sovereign rating announcements … (increase) in volatility in other countries. The empirical results show also a financial gain and risk (value-at-risk) reduction …
Persistent link: https://www.econbiz.de/10013057674
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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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What "hides" behind sovereign debt ratings?
Afonso, António (contributor); Gomes, Pedro (contributor);  … - 2007
In this paper we study the determinants of sovereign debt credit ratings using rating notations from the three main international rating agencies, for the period 1995-2005. We employ panel estimation and random effects ordered probit approaches to assess the explanatory power of several...
Persistent link: https://www.econbiz.de/10003410549
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What "hides" behind sovereign debt ratings?
Afonso, António (contributor); Gomes, Pedro (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003424401
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What "hides" behind sovereign debt ratings?
Afonso, António; Gomes, Pedro; Rother, Philipp C. - In: New developments in financial modelling, (pp. 314-343). 2008
Persistent link: https://www.econbiz.de/10003981856
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Short- and long-run determinants of sovereign debt credit ratings
Afonso, António; Gomes, Pedro; Rother, Philipp C. - In: International journal of finance & economics : IJFE 16 (2011) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009159759
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Sovereign credit ratings and financial markets linkages : application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - 2011
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor's, Moody's, Fitch). Our results show: significant responses of government bond yield...
Persistent link: https://www.econbiz.de/10009160019
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Sovereign credit ratings and financial markets linkages : application to European data
Afonso, António; Furceri, Davide; Gomes, Pedro - 2011
Persistent link: https://www.econbiz.de/10011564852
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Sovereign Credit Ratings and Financial Markets Linkages : Application to European Data
Afonso, António - 2011
We use EU sovereign bond yield and CDS spreads daily data to carry out an event study analysis on the reaction of government yield spreads before and after announcements from rating agencies (Standard & Poor's, Moody's, Fitch). Our results show: significant responses of government bond yield...
Persistent link: https://www.econbiz.de/10013124928