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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - In: The North American journal of economics and finance : a … 26 (2013), pp. 217-226
Persistent link: https://www.econbiz.de/10010365773
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10010326212
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Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
Persistent link: https://www.econbiz.de/10010354388
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
In this paper, we develop a new capital adequacy buffer model (CABM) which is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model which measures...
Persistent link: https://www.econbiz.de/10010224793
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Corporate financial distress of industry level listings in an emerging market
Duc Hong Vo; Binh Vo-Ninh Pham; Trung Vu-Thanh Pham; … - 2019
Persistent link: https://www.econbiz.de/10011987030
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Corporate financial distress of industry level listings in Vietnam
Duc Hong Vo; Binh Ninh Vo Pham; Chi Minh Ho; McAleer, … - In: Journal of risk and financial management : JRFM 12 (2019) 4/155, pp. 1-17
Any critical analysis of the corporate financial distress of listed firms in international exchange would be incomplete without a serious dissection at the industry level, because of the different levels of risks concerned. This paper considers the financial distress of listed firms at the...
Persistent link: https://www.econbiz.de/10012173012
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Asset investment diversification, bankruptcy risk and the mediating role of business diversification
Vu Huu Thanh; Nguyen Minh Ha; McAleer, Michael - In: Annals of financial economics 16 (2021) 1, pp. 1-26
Persistent link: https://www.econbiz.de/10012650173
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Modelling and Simulation: An Overview
McAleer, Michael; Chan, Felix; Oxley, Les - 2013
underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …
Persistent link: https://www.econbiz.de/10010326266
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A capital adequacy buffer model
Allen, David E.; McAleer, Michael; Powell, R. J.; … - In: Applied economics letters 23 (2016) 1/3, pp. 175-179
Persistent link: https://www.econbiz.de/10011414540