Rating Announcements, CDS Spread and Volatility During the European Sovereign Crisis
Author:
Publisher
Elsevier BV
Subject
Finance
Reference19 articles.
1. The distribution of realized stock return volatility;Andersen;J. Financ. Econ.,2001
2. Do sovereign rating changes trigger spillover effects?;Bissoondoyal-Bheenick;Res. Int. Bus. Finance,2012
3. The reaction of sovereign CDS spread volatilities to news announcements;Bouzgarrou;J. Asset Manage.,2016
4. The impact and the spillover effect of a sovereign rating announcement on the euro area CDS market;Drago;J. Int. Money Finance,2016
5. The volatility premium;Eraker;Manuscript,2008
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