) lays the groundwork for the assessment of a firm's credit risk by its default probability. Doubtlessly, the volatility of … approach with conditional volatility models, we empirically examine in this article that the specification of conditional … volatility affects the probability of default and therefor the credit rating. More precisely, we show on German stock market data …

system stability. Accordingly, we empirically test volatility dynamics of the tenyear sovereign bond yields of the 2004 EU … results show a varied degree of bond yield comovements, the most pronounced for the Czech Republic, Slovenia and Poland, and … weaker for Hungary and Slovakia. However, since the EU accession, we find some divergence of relative bond yields. We argue …