Portfolio single index (PSI) multivariate conditional and stochastic volatility models. - Manabu Asai; Michael McAleer; Bernardo da Veiga (Math. Comput. Simul., 2008)

Modelling the volatility transmission and conditional correlations between A and B shares in forecasting value-at-risk. - Bernardo da Veiga; Felix Chan; Michael McAleer (Math. Comput. Simul., 2008)

Value-at-Risk for country risk ratings. - Michael McAleer; Bernardo da Veiga; Suhejla Hoti (Math. Comput. Simul., 2011)