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McAleer, Michael; da Veiga, Bernardo; Hoti, Suhejla - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1454-1463

The country risk literature argues that country risk ratings have a direct impact on the cost of borrowings as they reflect the probability of debt default by a country. An improvement in country risk ratings, or country creditworthiness, will lower a country's cost of borrowing and debt...

Persistent link: https://www.econbiz.de/10010870466

Modelling the information content in insider trades in the Singapore exchange

Ann, Wong Kie; Sequeira, John M.; McAleer, Michael - In: Mathematics and Computers in Simulation (MATCOM) 68 (2005) 5, pp. 417-428

Over the past decade, numerous studies have debated the usefulness of insider trading. One particularly important study relates to the informational role that insiders’ transaction volumes have on trading activity in the equity market. In our paper, we examine whether insiders’ purchases...

Persistent link: https://www.econbiz.de/10010749255

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Institute

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Persistent link: https://www.econbiz.de/10005016261

Has the Basel II Accord Encouraged Risk Management during the 2008-09 Financial Crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; … - Tinbergen Instituut

See the publication in The North American Journal of Economics and Finance (2013). Volume 26(C), pages 250-265. The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the...

Persistent link: https://www.econbiz.de/10011256748

The Impact of Jumps and Leverage in Forecasting Co-Volatility

Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015

__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive definite. Using this approach we can...

Persistent link: https://www.econbiz.de/10011274348

Multivariate Stochastic Volatility: A Review

Asai, Manabu; McAleer, Michael; Yu, Jun - In: Econometric Reviews 25 (2006) 2-3, pp. 145-175

. This paper reviews the substantial literature on specification, estimation, and evaluation of MSV models. A wide range of … Cholesky decomposition, and the Wishart autoregressive process. Alternative methods of estimation, including quasi …

Persistent link: https://www.econbiz.de/10009228515

Multivariate Stochastic Volatility

Asai, Manabu; McAleer, Michael; Yu, Jun - East Asian Bureau of Economic Research (EABER) - 2006

. This paper reviews the substantial literature on specification, estimation and evaluation of MSV models. A wide range of …, Cholesky decomposition, Wishart autoregressive process, and the empirical range. Alternative methods of estimation, including …

Persistent link: https://www.econbiz.de/10009365381

Moment Restriction-based Econometric Methods: An Overview

McAleer, Michael; Kunitomo, Kunitomo, N.; Nishiyama, … - Faculteit der Economische Wetenschappen, Erasmus … - 2010

stationary processes, method of moments estimation and identifiability of semiparametric nonlinear errors-in-variables models … coefficients in a structural equation with many instruments, instrumental variable estimation in the presence of many moment … conditions, estimation of conditional moment restrictions without assuming parameter identifiability in the implied unconditional …

Persistent link: https://www.econbiz.de/10010731794

Moment Restriction-based Econometric Methods: An Overview

Kunitomo, Naoto; McAleer, Michael; Nishiyama, Yoshihiko - Institute of Economic Research, Kyoto University - 2010

Persistent link: https://www.econbiz.de/10008670443