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Modelling country spillover effects in country risk ratings

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  • Hoti, Suhejla

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  • Hoti, Suhejla, 2005. "Modelling country spillover effects in country risk ratings," Emerging Markets Review, Elsevier, vol. 6(4), pages 324-345, December.
  • Handle: RePEc:eee:ememar:v:6:y:2005:i:4:p:324-345
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    References listed on IDEAS

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    1. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(02), pages 280-310, April.
    2. Ling, Shiqing & McAleer, Michael, 2002. "NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS," Econometric Theory, Cambridge University Press, vol. 18(03), pages 722-729, June.
    3. McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261, February.
    4. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
    5. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
    6. Li, W K & Ling, Shiqing & McAleer, Michael, 2002. " Recent Theoretical Results for Time Series Models with GARCH Errors," Journal of Economic Surveys, Wiley Blackwell, vol. 16(3), pages 245-269, July.
    7. Hoti, Suhejla, 2005. "Comparative analysis of risk ratings for the East European region," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 68(5), pages 449-462.
    8. Suhejla Hoti & Michael McAleer, 2004. "An Empirical Assessment of Country Risk Ratings and Associated Models," Journal of Economic Surveys, Wiley Blackwell, vol. 18(4), pages 539-588, September.
    9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
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    Cited by:

    1. McAleer, Michael & da Veiga, Bernardo & Hoti, Suhejla, 2011. "Value-at-Risk for country risk ratings," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 81(7), pages 1454-1463.
    2. repec:eee:eneeco:v:66:y:2017:i:c:p:571-581 is not listed on IDEAS
    3. repec:spr:soinre:v:136:y:2018:i:1:d:10.1007_s11205-016-1534-8 is not listed on IDEAS
    4. Bosupeng, Mpho, 2015. "The Impossible Trinity and Financial Markets – An Examination of Inflation Volatility Spillovers," MPRA Paper 77923, University Library of Munich, Germany, revised 2015.
    5. San-Martín-Albizuri, Nerea & Rodríguez-Castellanos, Arturo, 2012. "Globalisation And The Unpredictability Of Crisis Episodes: An Empirical Analysis Of Country Risk Indexes / La Imprevisibilidad De Los Episodios De Crisis: Un Análisis Sobre Los Índices De Riesgo País ," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), vol. 18(2), pages 148-155.
    6. Simona-Valeria TOMA & Ioana-Veronica ALEXA, 2012. "Different Categories of Business Risk," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 109-114.
    7. Sun, Xiaolei & Li, Jianping & Tang, Ling & Wu, Dengsheng, 2012. "Identifying the risk-return tradeoff and exploring the dynamic risk exposure of country portfolio of the FSU's oil economies," Economic Modelling, Elsevier, vol. 29(6), pages 2494-2503.
    8. Kiani, Khurshid M., 2011. "Relationship between portfolio diversification and value at risk: Empirical evidence," Emerging Markets Review, Elsevier, vol. 12(4), pages 443-459.
    9. Mensi, Walid & Hammoudeh, Shawkat & Reboredo, Juan Carlos & Nguyen, Duc Khuong, 2014. "Do global factors impact BRICS stock markets? A quantile regression approach," Emerging Markets Review, Elsevier, vol. 19(C), pages 1-17.
    10. Liu, Chang & Sun, Xiaolei & Chen, Jianming & Li, Jianping, 2016. "Statistical properties of country risk ratings under oil price volatility: Evidence from selected oil-exporting countries," Energy Policy, Elsevier, vol. 92(C), pages 234-245.
    11. Bastidon, Cécile & Gilles, Philippe & Huchet, Nicolas, 2008. "The international lender of last resort and selective bail-out," Emerging Markets Review, Elsevier, vol. 9(2), pages 144-152, June.
    12. Priyanka Singh & Brajesh Kumar & Pandey, Ajay, 2008. "Price and Volatility Spillovers across North American, European and Asian Stock Markets: With Special Focus on Indian Stock Market," IIMA Working Papers WP2008-12-04, Indian Institute of Management Ahmedabad, Research and Publication Department.
    13. Chuang, I-Yuan & Lu, Jin-Ray & Tswei, Keshin, 2007. "Interdependence of international equity variances: Evidence from East Asian markets," Emerging Markets Review, Elsevier, vol. 8(4), pages 311-327, December.
    14. Jelena Laušev & Aleksandar Stojanović & Nataša Todorović, 2011. "Determinants Of Debt Rescheduling In Eastern European Countries," Economic Annals, Faculty of Economics, University of Belgrade, vol. 56(188), pages 7-31, January –.
    15. Simona-Valeria TOMA & Ioana-Veronica ALEXA & Daniela SARPE, 2011. "Different Categories of Business Risk," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 88-92.

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