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  1. 117 経済学研究科・経済学部
  2. 70 日本経済国際共同センター
  3. Discussion Paper F series (in English)
  1. 0 資料タイプ別
  2. 60 レポート類
  3. 061 ディスカッションペーパー

Structure and Asymptotic Theory for Multivariate Asymmetric Volatility : Empirical Evidence for Country Risk Ratings

http://hdl.handle.net/2261/2479
http://hdl.handle.net/2261/2479
31f78610-9d4a-449c-9b42-bc287db6ef2f
Item type テクニカルレポート / Technical Report(1)
公開日 2013-06-03
タイトル
タイトル Structure and Asymptotic Theory for Multivariate Asymmetric Volatility : Empirical Evidence for Country Risk Ratings
言語
言語 eng
キーワード
主題Scheme Other
主題 Economic risk
キーワード
主題Scheme Other
主題 financial risk
キーワード
主題Scheme Other
主題 political risk
キーワード
主題Scheme Other
主題 composite risk
キーワード
主題Scheme Other
主題 risk ratings
キーワード
主題Scheme Other
主題 risk returns
キーワード
主題Scheme Other
主題 multivariate structure
キーワード
主題Scheme Other
主題 asymmetric effects
キーワード
主題Scheme Other
主題 regularity conditions
キーワード
主題Scheme Other
主題 asymptotic theory
資源タイプ
資源 http://purl.org/coar/resource_type/c_18gh
タイプ technical report
アクセス権
アクセス権 metadata only access
アクセス権URI http://purl.org/coar/access_right/c_14cb
著者 Hoti, Suhejla

× Hoti, Suhejla

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Hoti, Suhejla

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Felix, Chan

× Felix, Chan

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Felix, Chan

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Michael, McAleer

× Michael, McAleer

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Michael, McAleer

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著者所属
著者所属 University of Western Australia
抄録
内容記述タイプ Abstract
内容記述 Following the rapid growth in the international debt of less developed countries in the 1970s and the increasing incidence of debt rescheduling in the early 1980s, country risk has become a topic of major concern for the international financial community. A critical assessment of country risk is essential because it reflects the ability and willingness of a country to service its financial obligations. Various risk rating agencies employ different methods to determine country risk ratings, combining a range of qualitative and quantitative information regarding alternative measures of economic, financial and political risk into associated composite risk ratings. This paper provides an international comparison of country risk ratings compiled by the International Country Risk Guide (ICRG), which is the only international rating agency to provide detailed and consistent monthly data over an extended period for a large number of countries. As risk ratings can be treated as indexes, their rate of change, or returns, merits attention in the same manner as financial returns. For this reason, a constant correlation multivariate asymmetric ARMA-GARCH model is presented and its underlying structure is established, including the unique, strictly stationary and ergodic solution of the model, its causal expansion, and convenient sufficient conditions for the existence of moments. Alternative empirically verifiable sufficient conditions for the consistency and asymptotic normality of the quasi-maximum likelihood estimator are established under non-normality of the conditional (or standardized) shocks. The empirical results provide a comparative assessment of the conditional means and volatilities associated with international country risk returns across countries and over time, enable a validation of the regularity conditions underlying the models, highlight the importance of economic, financial and political risk ratings as components of a composite risk rating, evaluate the multivariate effects of alternative risk returns and different countries, and evaluate the usefulness of the ICRG risk ratings in modelling risk returns.
内容記述
内容記述タイプ Other
内容記述 本文フィルはリンク先を参照のこと
書誌情報 Discussion paper series. CIRJE-F

巻 2003-CF-203, 発行日 2003-03
書誌レコードID
収録物識別子タイプ NCID
収録物識別子 AA11450569
フォーマット
内容記述タイプ Other
内容記述 application/pdf
日本十進分類法
主題Scheme NDC
主題 330
出版者
出版者 日本経済国際共同センター
出版者別名
Center for International Research on the Japanese Economy
関係URI
識別子タイプ URI
関連識別子 http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf203ab.html
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