1. Asymmetric expectations of monetary policy. (2024). Busetto, Filippo.
   In: Bank of England working papers.
   RePEc:boe:boeewp:1058.

   Full description at Econpapers || Download paper

2. Time-varying pricing of risk in sovereign bond futures returns. (2022). Malinska, Barbora.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004955.

   Full description at Econpapers || Download paper

3. Macrofinancial information on the post-COVID-19 economic recovery: Will it be V, U or L-shaped?. (2021). Iania, Leonardo ; Dewachter, Hans ; De Backer, Bruno.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000593.

   Full description at Econpapers || Download paper

4. Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?. (2021). Iania, Leonardo ; Dewachter, Hans ; De Backer, Bruno.
   In: LIDAM Discussion Papers LFIN.
   RePEc:ajf:louvlf:2021002.

   Full description at Econpapers || Download paper

5. Sovereign bond return prediction with realized higher moments. (2019). Papavassiliou, Vassilios ; Kinateder, Harald.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:62:y:2019:i:c:p:53-73.

   Full description at Econpapers || Download paper

1. Afonso, Antonio, Furceri, Davide and Pedro Gomez, 2011. Sovereign Credit Ratings and Financial Markets Linkages: Application to European Data, ECB working paper 1347.

2. Andritzky, Jochen, 2012. Government Bonds and their Investors: What Are the Facts and Do They Matter? IMF working paper.

3. Antonello, D’Agostino and Michael Ehrmann, 2012. The Pricing of G7 Sovereign Bond Spreads - the Times, they are Changing, MPRA working paper.

4. Attinasi, Maria-Grazia, Checherita-Westphal, Cristina and Christiane Nickel, 2009.
   Paper not yet in RePEc: Add citation now
   

5. Backus, David, Silverio Foresi, Abon Mozumdar, and Liuren Wu, 2001, Predictable Changes in Yields and Forward Rates, Journal of Financial Econometrics, 59, 281-311.

6. Bai, Jushan, and Serena Ng, 2001, A Consistent Test for Conditional Symmetry in Time Series Models, Journal of Econometrics, 103, 225-258.

7. Bekaert, Geert, Claude Erb, Campbell Harvey and Tadas Viskanta, 1998, Distributional Characteristics of Emerging Market Returns and Asset Allocations, The Journal of Portfolio Management 24, 102-116.
   Paper not yet in RePEc: Add citation now
   
8. Brock, William, William Dechert, Jose Scheinkman, and Blake LeBaron, 1996, A Test for Independence Based on the Correlation Dimension, Econometric Reviews 15, 197-235.
   Paper not yet in RePEc: Add citation now
   

9. Brunnermeier, Markus, Stefan Nagel, and Lasse Pedersen, 2009, Carry Trades and Currency Crashes, NBER Macroeconomics Annual 2008, 313-347.

10. Campbell, John, and Robert Shiller, 1995, Yield Spreads and Interest Rate Movements: A Bird’s Eye View, Review of Economic Studies, 58, 495-514.
    Paper not yet in RePEc: Add citation now
    

11. Cochrane, John and Monika Piazzesi, 2005. Bond Risk Premia, American Economic Review 95, 138-160.

12. Fama, Eugene and Robert Bliss, 1987, The Information in Long-Maturity Forward Rates, American Economic Review 77, 680-92.

13. Fama, Eugene, 1984, Term Premiums and Bond Rerturns, Journal of Financial economics 13, 529-546.
    Paper not yet in RePEc: Add citation now
    

14. Fujiwara, Ippei, Lena Korber, and Daisuke Nagakura, 2011, How Much Asymmetry is There in Bond Returns and Exchange Rates? Globalization and Monetary Policy Institute Working Paper 93.

15. Ghysels, Eric, Plazzi, Alberto and Rossen Valkanov, 2011. Conditional Skewness of Stock MArket Returns in Developed and Emerging Markets and its Economic Fundamentals, Swiss Finance Institute Research Paper No. 11-06.

16. Grigoletto, Matteo and Lisi, Francesco, 2009, Looking for Skewness in Financial Time Series. The Econometrics Journal 12, 310-323.

17. Harvey, Campbell R. and Akhtar Siddique, 1999. Autoregressive Conditional Skewness. Journal of Financial and Quantitative Analysis, 34 (4), 465-487.

18. Kanzler, Ludwig 1999, Very Fast and Correctly Sized Estimation of the BDS Statistic, DPhil Thesis, University of Oxford.
    Paper not yet in RePEc: Add citation now
    

19. Kim, Tae-Hwan, and Halbert White, 2004, On more Robust Estimation of Skewness and Kurtosis, Finance Research Letters 1, 56-73.

20. Peiro, Amado, 2002, Skewness in Individual Stocks at Different Investment Horizons, Quantitative Finance 2, 139-146.

21. Piazzesi, Monika, 2010, Affine Term Structure Models, Handbook of Financial Econometrics 1, 691-766.
    Paper not yet in RePEc: Add citation now
    

22. Premaratne, Gamini, and Anil Bera, 2005, A Test for Symmetry with Leptokurtic Financial Data, Journal of Financial Econometrics 3, 169-187.

23. Svensson, Lars, 1994, Estimating and Interpreting Forward Rates: Sweden 1992-4, NBER Working Paper 4871.

24. Vahamaa, Sami, 2005, Option-Implied Asymmetries in Bond Market Expectations around Monetary Policy Actions of the ECB, Journal of Economics and Business 57, 23-38.

25. von Hippel, Paul T., 2005, Mean, Median, and Skew: Correcting a Textbook Rule. Journal of Statistics Education 13 (2).
    Paper not yet in RePEc: Add citation now
    
26. What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09? Public Finance and Management, 10 (4), 595-645.
    Paper not yet in RePEc: Add citation now
    

1. Dynamics of the public-debt-to-gdp ratio: can it explain the risk premium of treasury bonds?. (2022). Bhimjee, Diptes ; Lagoa, Sergio C ; Leo, Emanuel R.
   In: Empirica.
   RePEc:kap:empiri:v:49:y:2022:i:4:d:10.1007_s10663-022-09547-8.

   Full description at Econpapers || Download paper

2. The impact of sovereign credit ratings on Eurobond yields: Evidence from Africa. (2021). ALAGIDEDE, IMHOTEP ; Rusike, Tatonga Gardner.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000969.

   Full description at Econpapers || Download paper

3. VC - A Method For Estimating Time-Varying Coefficients in Linear Models. (2020). Schlicht, Ekkehart.
   In: IZA Discussion Papers.
   RePEc:iza:izadps:dp12920.

   Full description at Econpapers || Download paper

4. VC - A method for estimating time-varying coefficients in linear models. (2019). Schlicht, Ekkehart.
   In: Economics Discussion Papers.
   RePEc:zbw:ifwedp:201922.

   Full description at Econpapers || Download paper

5. An Exposure of Commercial Banks in the Terms of an Impact of Government Bondholding with the Context of Its Risks and Implications. (2019). Rozsa, Zoltan ; Gvozdiak, Vladimir ; Ashiqur, Rahman ; Chovancova, Bozena.
   In: Montenegrin Journal of Economics.
   RePEc:mje:mjejnl:v:15:y:2019:i:1:173-188.

   Full description at Econpapers || Download paper

6. VC - A Method For Estimating Time-Varying Coefficients in Linear Models. (2019). Schlicht, Ekkehart.
   In: Discussion Papers in Economics.
   RePEc:lmu:muenec:69765.

   Full description at Econpapers || Download paper

7. The Transparency of Credit Ratings – Reconstruction of Hungary’s Sovereign Rating. (2018). Szucs, Nora ; Hajnal, Gabor.
   In: Financial and Economic Review.
   RePEc:mnb:finrev:v:17:y:2018:i:3:p:29-56.

   Full description at Econpapers || Download paper

8. Who carried more credibility?: An analysis of the market responses to news from the Japanese government, the Japanese central bank and international credit rating agencies. (2018). Du, Wenti.
   In: Journal of Economics and Business.
   RePEc:eee:jebusi:v:98:y:2018:i:c:p:32-39.

   Full description at Econpapers || Download paper

9. Eurozone Debt Crisis and Regulation of Credit Rating Agencies. (2015). Zaidi, Deena.
   In: Global Credit Review (GCR).
   RePEc:wsi:gcrxxx:v:05:y:2015:i:01:n:s2010493615500087.

   Full description at Econpapers || Download paper

10. The financial crisis research: a bibliometric analysis. (2015). Chiang, Chun-Hao ; Hsu, Chien-Lung.
    In: Scientometrics.
    RePEc:spr:scient:v:105:y:2015:i:1:d:10.1007_s11192-015-1698-z.

    Full description at Econpapers || Download paper

11. On Origins and Implications of the Sovereign Debt Crisis in the Euro Area. (2015). Mirdala, Rajmund ; Ruakova, Anna.
    In: MPRA Paper.
    RePEc:pra:mprapa:68859.

    Full description at Econpapers || Download paper

12. Risk, ambiguity, and sovereign rating. (2015). Di Caro, Paolo.
    In: International Economics and Economic Policy.
    RePEc:kap:iecepo:v:12:y:2015:i:1:p:41-57.

    Full description at Econpapers || Download paper

13. Euro at risk: The impact of member countries credit risk on the stability of the common currency. (2015). Wolff, Christian ; Lehnert, Thorsten ; Jin, Xisong ; Bekkour, Lamia ; Rasmouki, Fanou .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:67-83.

    Full description at Econpapers || Download paper

14. Rating the UK: the British governments sovereign credit ratings, 1976–8. (2015). Gill, David James.
    In: Economic History Review.
    RePEc:bla:ehsrev:v:68:y:2015:i:3:p:1016-1037.

    Full description at Econpapers || Download paper

15. Ratingagenturen - Fluch oder Segen? Eine kritische Bestandsaufnahme. (2014). Chiwitt, Ulrich .
    In: Arbeitspapiere der FOM.
    RePEc:zbw:fomarb:48.

    Full description at Econpapers || Download paper

16. Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy. (2014). KARGI, Bilal.
    In: EconStor Open Access Articles and Book Chapters.
    RePEc:zbw:espost:98841.

    Full description at Econpapers || Download paper

17. Expectations and systemic risk in EMU government bond spreads. (2014). Piersanti, Giovanni ; Canofari, Paolo ; Giovanni, Piersanti ; Giancarlo, Marini .
    In: wp.comunite.
    RePEc:ter:wpaper:0113.

    Full description at Econpapers || Download paper

18. Expectations and Systemic Risk in EMU Government Bond Spreads. (2014). Piersanti, Giovanni ; Canofari, Paolo ; Marini, Giancarlo.
    In: LEAP Working Papers.
    RePEc:ris:sepewp:2014_001.

    Full description at Econpapers || Download paper

19. Risk, ambiguity and sovereign rating. (2014). Di Caro, Paolo.
    In: MPRA Paper.
    RePEc:pra:mprapa:60295.

    Full description at Econpapers || Download paper

20. Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy. (2014). KARGI, Bilal.
    In: MPRA Paper.
    RePEc:pra:mprapa:57380.

    Full description at Econpapers || Download paper

21. Credit Default Swap (Cds) Spreads: The Analysis Of Time Series For The Interaction With The Interest Rates And The Growth In Turkish Economy. (2014). KARGI, Bilal.
    In: Montenegrin Journal of Economics.
    RePEc:mje:mjejnl:v:10:y:2014:i:1:p:59-66.

    Full description at Econpapers || Download paper

22. Doom-loops: The Role of Rating Agencies in the Euro Financial Crisis. (2014). Tavlas, George ; Hall, Stephen ; Gibson, Heather.
    In: Discussion Papers in Economics.
    RePEc:lec:leecon:14/16.

    Full description at Econpapers || Download paper

23. Stock Market Reactions to Sovereign Credit Rating Changes: Evidence from Four European Countries. (2014). Fatnassi, Ibrahim ; Hasnaoui, Habib.
    In: Working Papers.
    RePEc:ipg:wpaper:2014-111.

    Full description at Econpapers || Download paper

24. Credit Rating Agency Downgrades and the Eurozone Sovereign Debt Crises. (2014). Stephan, Andreas ; Schäfer, Dorothea ; Baum, Christopher ; Karpava, Margarita ; Schafer, Dorothea.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:841.

    Full description at Econpapers || Download paper

25. Credit Ratings and Cross-Border Bond Market Spillovers. (2013). Zabel, Michael ; Boninghausen, Benjamin.
    In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79724.

    Full description at Econpapers || Download paper

26. Sovereign risk contagion in the Eurozone: A time-varying coefficient approach. (2013). Ludwig, Alexander.
    In: Dresden Discussion Paper Series in Economics.
    RePEc:zbw:tuddps:0213.

    Full description at Econpapers || Download paper

27. Functions and characteristics of corporate and sovereign CDS. (2013). Heidorn, Thomas ; Bannier, Christina ; Vogel, Heinz-Dieter.
    In: Frankfurt School - Working Paper Series.
    RePEc:zbw:fsfmwp:203.

    Full description at Econpapers || Download paper

28. Has political communication during the crisis impacted sovereign bond spreads in the euro area?. (2013). Sondermann, David ; Mohl, Philipp.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:20:y:2013:i:1:p:48-61.

    Full description at Econpapers || Download paper

29. The Impact of Banking Regulation on the Economic Performance of EU Countries in 2007-2009. (2013). Sum, Katarzyna.
    In: Gospodarka Narodowa. The Polish Journal of Economics.
    RePEc:sgh:gosnar:y:2013:i:4:p:5-19.

    Full description at Econpapers || Download paper

30. Credit Ratings and Cross-Border Bond Market Spillovers. (2013). Zabel, Michael ; Boninghausen, Benjamin.
    In: MPRA Paper.
    RePEc:pra:mprapa:47390.

    Full description at Econpapers || Download paper

31. Asymmetry in Government Bond Returns. (2013). Nagakura, Daisuke ; Fujiwara, Ippei ; Korber, Lena Mareen .
    In: CAMA Working Papers.
    RePEc:een:camaaa:2013-12.

    Full description at Econpapers || Download paper

32. Do words matter? The impact of communication on the PIIGS CDS and bond yield spreads during Europes sovereign debt crisis. (2013). Buchel, Konstantin.
    In: European Journal of Political Economy.
    RePEc:eee:poleco:v:32:y:2013:i:c:p:412-431.

    Full description at Econpapers || Download paper

33. Fiscal space and sovereign risk pricing in a currency union. (2013). Qureshi, Mahvash ; Ostry, Jonathan ; Ghosh, Atish.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:34:y:2013:i:c:p:131-163.

    Full description at Econpapers || Download paper

34. Contagion during the Greek sovereign debt crisis. (2013). Mink, Mark ; de Haan, Jakob.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:34:y:2013:i:c:p:102-113.

    Full description at Econpapers || Download paper

35. Rating agencies’ signals during the European sovereign debt crisis: Market impact and spillovers. (2013). ap Gwilym, Owain ; Alsakka, Rasha.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:85:y:2013:i:c:p:144-162.

    Full description at Econpapers || Download paper

36. Asymmetry in government bond returns. (2013). Nagakura, Daisuke ; Boneva, Lena ; Fujiwara, Ippei ; Korber, Lena Mareen .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:8:p:3218-3226.

    Full description at Econpapers || Download paper

37. Credit Rating Agency Announcements and the Eurozone Sovereign Debt Crisis. (2013). Stephan, Andreas ; Schäfer, Dorothea ; Baum, Christopher ; Karpava, Margarita ; Schafer, Dorothea.
    In: Discussion Papers of DIW Berlin.
    RePEc:diw:diwwpp:dp1333.

    Full description at Econpapers || Download paper

38. Asymmetry in government bond returns. (2013). Nagakura, Daisuke ; Fujiwara, Ippei ; Korber, Lena Mareen ; Fuijwara, Ippei .
    In: AJRC Working Papers.
    RePEc:csg:ajrcwp:1301.

    Full description at Econpapers || Download paper

39. Asymmetry in government bond returns. (2013). Korber, Lena Mareen ; Fujiwara, Ippei ; Nagakura, Daisuke.
    In: AJRC Working Papers.
    RePEc:csg:ajrcwp:01.

    Full description at Econpapers || Download paper

40. THE RATING AGENCIES IN THE INTERNATIONAL POLITICAL ECONOMY. (2012). Roukanas, Spyros ; Kotios, Angelos ; GALANOS, GEORGE.
    In: Scientific Bulletin - Economic Sciences.
    RePEc:pts:journl:y:2012:i:1:p:3-15.

    Full description at Econpapers || Download paper

41. Do Economic Growth, Human Development and Political Stability favour sovereign Creditworthiness of a Country? A Cross Country Survey on Developed and Developing Countries. (2012). Bundala, Ntogwa.
    In: MPRA Paper.
    RePEc:pra:mprapa:47626.

    Full description at Econpapers || Download paper

42. “Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News”. (2012). Vašíček, Bořek ; Claeys, Peter ; Vaicek, Borek .
    In: IREA Working Papers.
    RePEc:ira:wpaper:201219.

    Full description at Econpapers || Download paper

43. An Equilibrium Model of Credit Rating Agencies. (2012). Vigier, Adrien ; Natvik, Gisle ; Holden, Steinar ; Natvig, Gisle James .
    In: Memorandum.
    RePEc:hhs:osloec:2013_001.

    Full description at Econpapers || Download paper

44. A new country risk index for emerging markets: A stochastic dominance approach. (2012). Topaloglou, Nikolas ; Stengos, Thanasis ; Pinar, Mehmet ; Agliardi, Elettra.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:5:p:741-761.

    Full description at Econpapers || Download paper

45. The Euro area sovereign debt crisis: safe haven, credit rating agencies and the spread of the fever from Greece, Ireland and Portugal. (2012). De Santis, Roberto.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:20121419.

    Full description at Econpapers || Download paper

46. Contagion during the Greek Sovereign Debt Crisis. (2012). Mink, Mark ; de Haan, Jakob.
    In: Working Papers.
    RePEc:dnb:dnbwpp:335.

    Full description at Econpapers || Download paper

47. Euro at Risk: The Impact of Member Countries’ Credit Risk on the Stability of the Common Currency. (2012). Wolff, Christian ; Rasmouki, Fanou ; Lehnert, Thorsten ; Jin, Xisong ; bekkour, lamia.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9229.

    Full description at Econpapers || Download paper

48. Measuring Sovereign Bond Spillover in Europe and the Impact of Rating News. (2012). Vašíček, Bořek ; Claeys, Peter ; Vasicek, Borek .
    In: Working Papers.
    RePEc:cnb:wpaper:2012/07.

    Full description at Econpapers || Download paper

49. Financial Contagion and the European Debt Crisis. (2011). Missio, Fabricio ; Watzka, Sebastian.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_3554.

    Full description at Econpapers || Download paper

50. VC - A Method For Estimating Time-Varying Coefficients in Linear Models. (2006). Schlicht, Ekkehart.
    In: Discussion Papers in Economics.
    RePEc:lmu:muenec:61656.

    Full description at Econpapers || Download paper

Report date: 2025-09-30 20:04:12 || Missing content? Let us know