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The effects of sovereign rating drifts on financial return distributions : evidence from the European Union

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of financial analysis 34 (2014), pp. 5-20

Persistent link: https://www.econbiz.de/10010520405

The Effects of Sovereign Rating Drifts on Financial Return Distributions : Evidence from the European Union

Do, Hung Xuan - 2016

We develop a framework that allows a multivariate system of long memory processes to be conditional on specific regimes to investigate the effects of credit rating agencies (CRAs)' sovereign credit re-ratings on European stock and currency return distributions via their first four realized...

Persistent link: https://www.econbiz.de/10013007995

Do sovereign re-ratings destabilize equity markets during financial crises? : new evidence from higher return moments

Brooks, Robert; Faff, Robert W.; Sirimon Treepongkaruna; … - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 777-799

Persistent link: https://www.econbiz.de/10011442342

Sovereign rating changes and realized volatility in Asian foreign exchange markets during the Asian crisis

Bissoondoyal-Bheenick, Emawtee; Brooks, Robert; Hum, … - In: Applied financial economics 21 (2011) 13/15, pp. 997-1003

Persistent link: https://www.econbiz.de/10009317447

Portfolio's weighted political risk and mutual fund performance : a text-based approach

Huong Giang Nguyen; Hoang, Khanh; Nguyen, Quan M. P.; … - In: Finance research letters 66 (2024), pp. 1-11

Persistent link: https://www.econbiz.de/10015061194

Realizing the volatility impacts of sovereign credit ratings information on equity and currency markets : evidence from the Asian financial crisis

Sirimon Treepongkaruna; Eliza, Wu - In: Research in international business and finance 26 (2012) 3, pp. 335-352

Persistent link: https://www.econbiz.de/10009615550

The dynamic pricing of sovereign risk in emerging markets : fundamentals and risk aversion

Remolona, Eli M.; Scatigna, Michaela; Wu, Eliza - In: The journal of fixed income 17 (2007) 4, pp. 57-71

Persistent link: https://www.econbiz.de/10003729816

Interpreting sovereign spreads

Remolona, Eli M.; Scatigna, Michaela; Wu, Eliza - In: BIS quarterly review : international banking and … (2007), pp. 27-39

Persistent link: https://www.econbiz.de/10003444284

A ratings-based approach to measuring sovereign risk

Remolona, Eli M.; Scatigna, Michela; Wu, Eliza - In: International journal of finance & economics : IJFE 13 (2008) 1, pp. 26-39

Persistent link: https://www.econbiz.de/10003705375

International bank flows to emerging markets : influence of sovereign credit ratings and their regional spillover effects

Kim, Suk-Joong; Wu, Eliza - In: The journal of financial research 34 (2011) 2, pp. 331-364

Persistent link: https://www.econbiz.de/10009373646