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Modelling the riskiness in country risk ratings

Hoti, Suhejla (contributor); McAleer, Michael (contributor) - 2005

Introduction / Michael McAleer -- Assessment of risk ratings and risk returns for 120 representative countries … / Michael McAleer -- Conditional volatility models for risk ratings and risk returns / Michael McAleer -- Univariate and … multivariate estimates of symmetric and asymmetric conditional volatilities and conditional correlations for risk returns / Michael …

Persistent link: https://www.econbiz.de/10012049748

Structure and asymptotic theory for multivariate asymmetric conditional volatility

McAleer, Michael; Hoti, Suhejla; Chan, Felix - In: Econometric reviews 28 (2009) 5, pp. 422-440

Persistent link: https://www.econbiz.de/10003873066

Special section: advances in financial risk management and economic policy uncertainty

Hammoudeh, Shawkat (ed.); McAleer, Michael (ed.) - 2015

Persistent link: https://www.econbiz.de/10011571814

Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies

Allen, David E.; McAleer, Michael; Shelton, Peiris; … - 2015

Persistent link: https://www.econbiz.de/10011432736

Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

Persistent link: https://www.econbiz.de/10011378229