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Forecasting value-at-risk with a parsimonious Portfolio Spillover GARCH (PS-GARCH) model
McAleer, Michael; Da Veiga, Bernardo - In: Journal of forecasting 27 (2008) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10003738381
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It pays to violate : how effective are the Basel accord penalties?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - 2009
Persistent link: https://www.econbiz.de/10003910300
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It pays to violate : how effective are the Basel accord penalties in encouraging risk management?
Da Veiga, Bernardo; Chan, Felix; McAleer, Michael - In: Accounting and finance : journal of the Accounting … 52 (2012) 1, pp. 95-116
Persistent link: https://www.econbiz.de/10009512724
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It Pays to Violate : How Effective are the Basel Accord Penalties in Encouraging Risk Management?
da Veiga, Bernardo - 2010
The internal models amendment to the Basel Accord allows banks to use internal models to forecast Value-at-Risk (VaR) thresholds, which are used to calculate the required capital that banks must hold in reserve as a protection against negative changes in the value of their trading portfolios. As...
Persistent link: https://www.econbiz.de/10013149149
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Modeling country risk and uncertainty in small island tourism economies
Hoti, Suhejla; McAleer, Michael; Shareef, Riaz - In: Tourism economics : the business and finance of tourism … 11 (2005) 2, pp. 159-183
Persistent link: https://www.econbiz.de/10003057269
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Discussion of "principal volatility component analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010359780
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
Persistent link: https://www.econbiz.de/10010348324
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Discussion of "Principal Volatility Component Analysis" by Yu-Pin Hu and Ruey Tsay
McAleer, Michael - 2014
This note discusses some aspects of the paper by Hu and Tsay (2014), "Principal Volatility Component Analysis". The key issues are considered, and are also related to existing conditional covariance and correlation models. Some caveats are given about multivariate models of time-varying...
Persistent link: https://www.econbiz.de/10010250536
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - 2014
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010405194
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Asymmetry and leverage in conditional volatility models
McAleer, Michael - In: Econometrics : open access journal 2 (2014) 3, pp. 145-150
The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...
Persistent link: https://www.econbiz.de/10010417180