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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

Modelling the riskiness in country risk ratings

Hoti, Suhejla; McAleer, Michael - 2005 - 1. ed.

Persistent link: https://www.econbiz.de/10002524796

Modelling environmental risk

Hoti, Suhejla (contributor); McAleer, Michael (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002396335

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

Measuring risk in environmental finance

Hoti, Suhejla; McAleer, Michael; Pauwels, Laurent L. - In: Journal of economic surveys 21 (2007) 5, pp. 970-998

Persistent link: https://www.econbiz.de/10003556396

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...

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

Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

Chan, Felix; McAleer, Michael - In: Applied financial economics 13 (2003) 8, pp. 581-592

Persistent link: https://www.econbiz.de/10001770826

Maximum likelihood estimation of STAR and STAR-GARCH models : theory and Monte Carlo evidence

Chan, Felix; McAleer, Michael - In: Journal of applied econometrics 17 (2002) 5, pp. 509-534

Persistent link: https://www.econbiz.de/10001709313

Estimating smooth transition autoregressive models with GARCH errors in the presence of extreme observations and outliers

Chan, Felix (contributor); McAleer, Michael (contributor) - 2001 - [Elektronische Ressource]

This paper investigates several empirical issues regarding quasimaximum likelihood estimation of Smooth Transition Autoregressive (STAR) models with GARCH errors, specifically STAR-GARCH and STAR-STGARCH. Convergence, the choice of different algorithms for maximising the likelihood function, and...

Persistent link: https://www.econbiz.de/10001644307

Structure and asymptotic theory for nonlinear models with GARCH Errors

Chan, Felix; McAleer, Michael; Medeiros, Marcelo C. - 2010

Persistent link: https://www.econbiz.de/10008760483