The 17 references in paper Rabah Arezki, Bertrand Candelon, Amadou Sy (2011) “Sovereign Rating News and Financial Markets Spillovers: Evidence from the European Debt Crisis” / RePEc:ces:ceswps:_3411

1
BIS (2010), BIS Quarterly Review, December 2010, Basel, www.bis.org
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2
Blundell-Wignall, A. and P. Slovik (2010), “The EU Stress Test and Sovereign Debt Exposures”, OECD Working Papers on Finance, Insurance and Private Pensions, No. 4, OECD Financial Affairs Division, www.oecd.org/daf/fin
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3
Dungey, M., Fry, R., Martin V. and B. Gonzalez-Hermosillo, (2004), "Empirical Modeling of Contagion: A Review of Methodologies," IMF Working Papers 04/78, International Monetary Fund.
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4
Ehrmann, M., Fratzscher M.and R. Rigobon (2009)”Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission”, Journal of Applied Econometrics.
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5
Engle, R.F. and C.W.J. Granger (1987), “Cointegration and Error-Correction: Representation, Estimation, and Testing”, Econometrica, pp. 251-276
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6
Fama, E. (1970), “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance, 25, 383-417
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7
Fang, W. and Miller, S. (2002), “Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis,” unpublished, Feng Chai University, Taiwan.
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8
Favero, C.A. and Giavazzi, F. (2002), “Is the International Propagation of Financial Shocks Non Linear? Evidence from the ERM,” Journal of International Economics, Vol. 57(1), pp. 231–246.
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9
27 Forbes, K. and Rigobon, R. (2002), “No Contagion, Only Interdependence: Measuring Stock Market Co-movements,” Journal of Finance, Vol. 57 (5), pp. 2,223–2,261.
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10
FSB, 2010, “Principles for reducing reliance on CRA ratings,” 27 October 2010, www.financialstabilityboard.org
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11
Gande, A. & Parsley, D. C.(2005), "News Spillovers in the Sovereign Debt Market," Journal of Financial Economics, Elsevier, vol. 75(3), pp 691-734, March.
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12
Granger, C., Huang, B. and Yang, C. (2000), “Bivariate Causality Between Stock Prices and Exchange Rates in Asian Countries,” The Quarterly Review of Economics and Finance, Vol. 40, pp. 337–54.
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13
Kaminsky, G. and Schmuckler, S.L. (2002), “Emerging Markets Instability: Do Sovereign Ratings Affect Country Risk and Stock Returns?, World Bank Economic Review, 16:2, pp. 171-195.
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14
Mora, N. (2006), “Sovereign credit ratings: guilty beyond reasonable doubt?”, Journal of Banking and Finance, 30, pp. 2041–2062.
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15
Rigobon, R. (2002), “The Curse of Non-Investment Grade Countries,” Journal of Development Economics, Vol. 69, pp. 423–49.
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16
Sy, A. N. R. (2009), “The Systemic Regulation of Credit Rating Agencies and Rated Markets,” World Economics, vol. 10(4), pp. 69-108, October.
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17
White, L. J. 2010. "Markets: The Credit Rating Agencies." Journal of Economic Perspectives, 24(2): 211–26.
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