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Modelling the riskiness in country risk ratings /

Focussing on the rating system of the international country risk guide, this book analyses various univariate and multivariate risk returns and corresponding symmetric and asymmetric models of conditional volatility, as well as conditional correlations.

Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Hoti, Suhejla, McAleer, Michael (Author)
Format: Electronic eBook
Language:Inglés
Published: Amsterdam ; Boston : Elsevier, 2005.
Edition:1st ed.
Series:Contributions to economic analysis ; 273.
Subjects:
Online Access:Texto completo
Table of Contents:
  • Cover
  • table of contents
  • Acknowledgements
  • List of Tables
  • List of Figures
  • 1. Introduction
  • 2. Country Risk Models: An Empirical Critique
  • 3. Rating Risk Rating Systems
  • 4. Assessment of Risk Rating and Risk Returns for 120 Representative Countries
  • 5. Conditional Volatility Models for Risk Ratings and Risk Returns
  • 6. Univariate and Multivariate Estimates of Symmetric and Asymmetric Conditional Volatilities and Conditional Correlations for Risk Returns
  • 7. Conclusion
  • Author Index
  • Country Index
  • index
  • Last Page.