Sovereign credit ratings, market volatility, and financial gains

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research , Preprint 01 Jan 2014 Portugal, United Kingdom, Portugal English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 76, pages 20-33 (issn: 0167-9473,

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Authors: António Afonso; Pedro Gomes; Abderrahim Taamouti;

doi: 10.1016/j.csda.2013.09.028 , 10.2139/ssrn.2404857

handle: 10400.5/7422 , 10400.5/25580 , 10419/154087

Sovereign credit ratings, market volatility, and financial gains

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Abstract

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Portugal, United Kingdom, Portugal

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Keywords

Financial Gain, Applications of statistics to actuarial sciences and financial mathematics, Yields, 330, Sovereign ratings, ems, yields, volatility, 332, risk management, Optimal portfolio, stock market returns, Financial gain, Stock Market Returns, Stock market returns, Value-at-risk, value-at-risk, H30, G11, EGARCH, Optimal Portfolio, Risk Management, ddc:330, G15, Value-at-Risk, sovereign ratings, optimal portfolio, Sovereign Ratings, Value-at-risk., Risk management, Volatility, Sovereign ratings; yields; stock market returns; volatility; EGARCH; optimal portfolio; financial gain; risk management; value-at-risk., E44, EGARCH, financial gain, optimal portfolio, risk management, sovereign ratings, stock market returns, value-at-risk, volatility, yields, financial gain, Computational methods for problems pertaining to statistics, C22, C23, jel: jel:C23, jel: jel:E44, jel: jel:C22, jel: jel:H30, jel: jel:G11, jel: jel:G15

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