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Modelling the riskiness in country risk ratings / edited by Michael McAleer

Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Contributions to economic analysis ; Volume 273Publisher: Bingley, U.K : Emerald, 2005Description: Online-RessourceISBN:
  • 9781849508322
Subject(s): Additional physical formats: 9780444518378 | Erscheint auch als: 9780444518378 Druck-Ausgabe | Erscheint auch als: Modelling the riskiness in country risk ratings. Druck-Ausgabe 1. ed. Amsterdam : Elsevier, 2005. XIX, 492 S.DDC classification:
  • 336.3435 22
RVK: RVK: QC 020 | QH 330 | QP 300DOI: DOI: 10.1108/S0573-8555(2005)273Online resources: Summary: 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 McAleer -- Conclusion / Michael McAleer -- Country risk models : an empirical critique / Michael McAleer -- Rating risk rating systems / Michael McAleerSummary: The importance of country risk is underscored by the existence of several prominent country risk rating agencies. These agencies combine information regarding alternative measures of economic, financial and political risk into associated composite risk ratings. As the accuracy of such country risk measures is open to question, it is necessary to analyse the agency rating systems to enable an evaluation of the importance and relevance of agency risk ratings. The book focuses on the rating system of the international country risk guide. Time series data permit a comparative assessment of risk ratings for 120 countries, and highlight the importance of economic, financial and political risk ratings as components of a composite risk rating. The book analyses various univariate and multivariate risk returns and corresponding symmetric and asymmetric models of conditional volatility, as well as conditional correlationsPPN: PPN: 1650785410Package identifier: Produktsigel: ZDB-1-EPB | ZDB-55-BME | ZDB-1-BMEN | ZDB-1-EPB-ebook | ZDB-55-ELD | ZDB-1-BMEN-ebook
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