Bollerslev, T. (1986), Generalised autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 307-327.
- Bollerslev, T., and Wooldridge, J. (1992), Quasi maximum likelihood estimation and inference in dynamic models with time varying variances, Econometric Reviews, 11, 143-172.
Paper not yet in RePEc: Add citation now
Bollerslev, T., Chou, R.Y., and Kroner, K.F. (1992), ARCH modeling in finance - A review of the theory and empirical evidence, Journal of Econometrics, 52, 5-59.
- Boussama, F. (2000), Asymptotic normality for the quasi-maximum likelihood estimator of a GARCH model, Comptes Rendus de l’Academie des Sciences, Serie I, 331, 81-84 (in French).
Paper not yet in RePEc: Add citation now
- Chan, F., Lim, C., and McAleer, M. (2005), Modelling multivariate international tourism demand and volatility, Tourism Management, 26, 459-471.
Paper not yet in RePEc: Add citation now
- Dickey, D.A., and Fuller, W.A. (1979), Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
Paper not yet in RePEc: Add citation now
Dickey, D.A., and Fuller, W.A. (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.
- Elie, L., and Jeantheau, T. (1995), Consistency in heteroskedastic models, Comptes Rendus de l’Académie des Sciences, Série I, 320, 1255-1258 (in French).
Paper not yet in RePEc: Add citation now
Elliott, G., Rothenberg, T.J., and Stock, J.H. (1996), Efficient tests for an autoregressive unit root, Econometrica, 64, 813-836.
Engle, R.F. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.
- Glosten, L., Jagannathan, R., and Runkle, D. (1992), On the relation between the expected value and volatility of nominal excess return on stocks, Journal of Finance, 46, 1779-1801.
Paper not yet in RePEc: Add citation now
Jeantheau, T. (1998), Strong consistency of estimators for multivariate ARCH models, Econometric Theory, 14, 70-86.
Lee, S.W., and Hansen, B.E. (1994), Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator, Econometric Theory, 10, 29-52.
Li, W.K., Ling, S., and McAleer, M. (2002), Recent theoretical results for time series models with GARCH errors, Journal of Economic Surveys, 16, 245-269.
- Lim C., Min, J. C. H., and McAleer, M. (2008), Modelling income effects on long and short haul international travel from Japan, Tourism Management, 29, 1099-1109.
Paper not yet in RePEc: Add citation now
- Lim, C., and McAleer, M. (2001), Monthly seasonal variations in Asian tourism to Australia, Annals of Tourism Research, 28, pp 68-82.
Paper not yet in RePEc: Add citation now
Lim, C., Min, J.C.H., and McAleer, M. (2007), ARMAX modelling of international tourism demand, in Oxley, L. and Kulasiri, D. (eds.), MODSIM 2007 International Congress on Modelling and Simulation, MSSANZ, Christchurch, New Zealand, pp. 1885-1891.
- Ling, S., and Li, W.K. (1997), On fractionally integrated autoregressive moving-average models with conditional heteroskedasticity, Journal of the American Statistical Association, 92, 1184-1194.
Paper not yet in RePEc: Add citation now
Ling, S., and McAleer, M. (2002a), Stationarity and the existence of moments of a family of GARCH processes, Journal of Econometrics, 106, 109-117.
Ling, S., and McAleer, M. (2002b), Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models, Econometric Theory, 18, 722-729.
Ling, S., and McAleer, M. (2003a), Asymptotic theory for a vector ARMA-GARCH model, Econometric Theory, 19, 278-308.
Ling, S., and McAleer, M. (2003b), On adaptive estimation in nonstationary ARMA models with GARCH errors, Annals of Statistics, 31, 642-674.
McAleer, M. (2005), Automated inference and learning in modeling financial volatility, Econometric Theory, 21, 232-261.
McAleer, M. (2009), The Ten Commandments for optimizing value-at-risk, Journal of Economic Surveys, 23, 831-849.
McAleer, M., Chan, F., and Marinova, D. (2007), An econometric analysis of asymmetric volatility: Theory and application to patents, Journal of Econometrics, 139, 259-284.
Nelson, D.B. (1991), Conditional heteroscedasticity in asset returns: a new approach, Econometrica, 59, 347-370.
- New Zealand Department of Statistics (1997-2007), Monthly Tourist Arrivals, Wellington, NZ.
Paper not yet in RePEc: Add citation now
Ng, S., and Perron, P. (2001), Lag length selection and the construction of unit root tests with good size and power, Econometrica, 69, 1519-1554.
Perron, P., and Ng, S. (1996), Useful modifications to some unit root tests with dependent errors and their local asymptotic properties, Review of Economic Studies, 63, 435-463.
- Phillips, P.C.B., and Perron, P. (1988), Testing for a unit root in time series regression, Biometrika, 75, 335-346.
Paper not yet in RePEc: Add citation now
- Reprinted in McAleer, M. and Oxley, L. (eds.), Contributions to Financial Econometrics: Theoretical and Practical Issues, Blackwell, Oxford, 2002, pp. 9-33.
Paper not yet in RePEc: Add citation now
- Shareef, R., and McAleer, M. (2007), Modelling the uncertainty in monthly international tourist arrivals to the Maldives, Tourism Management, 28, 23-45.
Paper not yet in RePEc: Add citation now
Shareef, R., and McAleer, M. (2008), Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach, Mathematics and Computers in Simulation, 78, 459-468.
- Shephard, N. (1996), Statistical aspects of ARCH and stochastic volatility, in Barndorff-Nielsen, O.E., Cox, D.R., and Hinkley, D.V. (eds.), Statistical Models in Econometrics, Finance and Other Fields, Chapman and Hall, London, pp 1-67.
Paper not yet in RePEc: Add citation now
- Taiwan Tourism Bureau (1997-2007), Monthly Report on Tourism, Tourism Bureau, Taipei.
Paper not yet in RePEc: Add citation now
- Taiwan Tourism Bureau (2006), 2005 Survey Report on Visitors Expenditure and Trends in Taiwan, Tourism Bureau, Taipei.
Paper not yet in RePEc: Add citation now
- World Tourism Organisation (2006), Tourism Highlights 2005 Edition, World Tourism Organisation, Madrid.
Paper not yet in RePEc: Add citation now