This paper investigates the predictive power for future domestic economic activity included in domestic stock prices, using a Granger causality analysis in the frequency domain. We are able to evaluate whether the predictive power is concentrated at the slowly fluctuating components or at the...

This paper compares the importance of different sovereign credit rating determinants over time, using a sample of 90 countries for the years 2002-2015. Applying the composite marginal likelihood approach, we estimate a multi-year ordered probit model for each of the three major credit rating...