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Credit rating agency downgrades and the Eurozone sovereign debt crises
16 references·7 citing·40 second hop
Credit rating agency downgrades and the Eurozone sovereign debt crises (2016)Credit rating agency downgrades and the E…Sovereign credit ratings and financial markets linkages: Application to European data (2012)Sovereign credit ratings and …News spillovers in the sovereign debt market (2005)News spillovers in the sovere…Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks (2002)Unique Equilibrium in a Model…Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns? (2002)Emerging Market Instability: …Dynamic Conditional Correlation (2002)Dynamic Conditional Correlati…Default, Currency Crises, and Sovereign Credit Ratings (2002)Default, Currency Crises, and…A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations (2002)A Multivariate Generalized Au…The Procyclical Role of Rating Agencies: Evidence from the East Asian Crisis (1999)The Procyclical Role of Ratin…The East Asian Financial Crisis: Diagnosis, Remedies, Prospects (1998)The East Asian Financial Cris…Efficient Tests for an Autoregressive Unit Root (1996)Efficient Tests for an Autore…Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of So…Determinants and Impact of Sovereign Credit Ratings (1996)Determinants and Impact of So…Efficient Tests for an Autoregressive Unit Root (1992)Efficient Tests for an Autore…Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Conditional Heteroskedasticit…The theory and practice of econometrics (1986)The theory and practice of ec…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Sovereign credit ratings during the COVID-19 pandemic (2021)Sovereign credit ratings duri…Rising Temperatures, Falling Ratings: The Effect of Climate Change on Sovereign Creditworthiness (2021)Rising Temperatures, Falling …Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries (2021)Dependency between sovereign …On the effect of credit rating announcements on sovereign bonds: International evidence (2020)On the effect of credit ratin…Sovereign credit risk and economic risk in Turkey: Empirical evidence from a wavelet coherence approach (2019)Sovereign credit risk and eco…Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid? (2018)Pro-cyclical effect of sovere…The Sovereign Yield Curve and Credit Ratings in GIIPS (2017)The Sovereign Yield Curve and…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)Modeling and Forecasting Realized Volatility (2003)Introductory Econometrics for Finance (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Credit Rationing in Markets with Imperfect Information (1981)Bank Runs, Deposit Insurance, and Liquidity (1983)A Simple Model of Herd Behavior (1992)Economic Crises: Evidence and Insights from East Asia (1998)Effects on Financial Globalization on Developing Countries: Some Empirical Evidence (2004)Demand–Deposit Contracts and the Probability of Bank Runs (2005)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power (2001)Unit root tests for panel data (2001)A simple panel unit root test in the presence of cross‐section dependence (2007)Valuation effects of security offerings and the issuance process (1986)Sovereign Debt: Is To Forgive To Forget? (1988)The Effect of Bond Rating Agency Announcements on Bond and Stock Prices (1992)Global Capital and National Governments (2001)The Globalization of Liberalization: Policy Diffusion in the International Political Economy (2004)The pricing of sovereign risk and contagion during the European sovereign debt crisis (2012)Global Games and Equilibrium Selection (1993)Coordination Failures and the Lender of Last Resort: Was Bagehot Right after All? (2004)Financial Intermediaries and Markets (2004)Local Economic Development, Agglomeration Economies, and the Big Push: 100 Years of Evidence from the Tennessee Valley Authority * (2013)Modeling and Forecasting Realized Volatility (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Dynamic correlation analysis of financial contagion: Evidence from Asian markets (2007)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)
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References

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  • 2002Dynamic Conditional Correlation7,126 cited
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  • 1998The East Asian Financial Crisis: Diagnosis, Remedies, Prospects1,558 cited
  • 2002A Multivariate Generalized Autoregressive Conditional Heteroscedasticity Model With Time-Varying Correlations1,198 cited
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  • 1996Determinants and Impact of Sovereign Credit Ratings460 cited
  • 2002Emerging Market Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?399 cited
  • 2005News spillovers in the sovereign debt market378 cited
  • 2012Sovereign credit ratings and financial markets linkages: Application to European data

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375 cited
  • 2002Default, Currency Crises, and Sovereign Credit Ratings360 cited
  • Cited by

    • 2019Sovereign credit risk and economic risk in Turkey: Empirical evidence from a wavelet coherence approach53 cited
    • 2018Pro-cyclical effect of sovereign rating changes on stock returns: a fact or factoid?42 cited
    • 2021Sovereign credit ratings during the COVID-19 pandemic37 cited
    • 2020On the effect of credit rating announcements on sovereign bonds: International evidence37 cited
    • 2021Rising Temperatures, Falling Ratings: The Effect of Climate Change on Sovereign Creditworthiness35 cited
    • 2021Dependency between sovereign credit ratings and economic risk: Insight from Balkan countries34 cited
    • 2017The Sovereign Yield Curve and Credit Ratings in GIIPS31 cited