Nothing Special   »   [go: up one dir, main page]

create a website
Modelling the volatility in short and long haul Japanese tourist arrivals to New Zealand and Taiwan. (2010). McAleer, Michael ; Chang, Chia-Lin ; Lim, C. ; Chang, C-L., .
In: Econometric Institute Research Papers.
RePEc:ems:eureir:20165.

Full description at Econpapers || Download paper

Cited: 1

Citations received by this document

Cites: 37

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Asymmetric Risk Impacts of Chinese Tourists to Taiwan. (2018). McAleer, Michael ; Chang, Chia-Lin ; Hsu, S.-H., ; Chang, C-L., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:107294.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Bollerslev, T. (1986), Generalised autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 307-327.

  2. 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
  3. 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.

  4. 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
  5. 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
  6. 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
  7. Dickey, D.A., and Fuller, W.A. (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.

  8. 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
  9. Elliott, G., Rothenberg, T.J., and Stock, J.H. (1996), Efficient tests for an autoregressive unit root, Econometrica, 64, 813-836.

  10. Engle, R.F. (1982), Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation, Econometrica, 50, 987-1007.

  11. 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
  12. Jeantheau, T. (1998), Strong consistency of estimators for multivariate ARCH models, Econometric Theory, 14, 70-86.

  13. Lee, S.W., and Hansen, B.E. (1994), Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator, Econometric Theory, 10, 29-52.

  14. 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.

  15. 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
  16. 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
  17. 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.

  18. 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
  19. Ling, S., and McAleer, M. (2002a), Stationarity and the existence of moments of a family of GARCH processes, Journal of Econometrics, 106, 109-117.

  20. 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.

  21. Ling, S., and McAleer, M. (2003a), Asymptotic theory for a vector ARMA-GARCH model, Econometric Theory, 19, 278-308.

  22. Ling, S., and McAleer, M. (2003b), On adaptive estimation in nonstationary ARMA models with GARCH errors, Annals of Statistics, 31, 642-674.

  23. McAleer, M. (2005), Automated inference and learning in modeling financial volatility, Econometric Theory, 21, 232-261.

  24. McAleer, M. (2009), The Ten Commandments for optimizing value-at-risk, Journal of Economic Surveys, 23, 831-849.

  25. 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.

  26. Nelson, D.B. (1991), Conditional heteroscedasticity in asset returns: a new approach, Econometrica, 59, 347-370.

  27. New Zealand Department of Statistics (1997-2007), Monthly Tourist Arrivals, Wellington, NZ.
    Paper not yet in RePEc: Add citation now
  28. 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.

  29. 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.

  30. 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
  31. 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
  32. 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
  33. 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.

  34. 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
  35. Taiwan Tourism Bureau (1997-2007), Monthly Report on Tourism, Tourism Bureau, Taipei.
    Paper not yet in RePEc: Add citation now
  36. 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
  37. World Tourism Organisation (2006), Tourism Highlights 2005 Edition, World Tourism Organisation, Madrid.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Value-at-Risk forecasts by a spatiotemporal model in Chinese stock market. (2016). Gong, PU ; Weng, Yingliang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:441:y:2016:i:c:p:173-191.

    Full description at Econpapers || Download paper

  2. Volatility and dynamic conditional correlations of worldwide emerging and frontier markets. (2014). Lyócsa, Štefan ; Baumohl, Eduard.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:38:y:2014:i:c:p:175-183.

    Full description at Econpapers || Download paper

  3. Time reversal invariance in finance. (2007). Zumbach, Gilles .
    In: Papers.
    RePEc:arx:papers:0708.4022.

    Full description at Econpapers || Download paper

  4. Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel .
    In: Finance.
    RePEc:wpa:wuwpfi:0507015.

    Full description at Econpapers || Download paper

  5. Measurement of Financial Risk Persistence. (2005). Los, Cornelis.
    In: Finance.
    RePEc:wpa:wuwpfi:0502013.

    Full description at Econpapers || Download paper

  6. Regime Switches in Swedish Interest Rates. (2003). Erlandsson, Ulf.
    In: Working Papers.
    RePEc:hhs:lunewp:2002_005.

    Full description at Econpapers || Download paper

  7. GARCH-based Volatility Forecasts for Market Volatility Indices. (2002). Lombardi, Marco ; Gallo, Giampiero ; Cecconi, Massimiliano.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_06.

    Full description at Econpapers || Download paper

  8. Analytic Hessian Matrices and the Computation of FIGARCH Estimates. (2002). Lombardi, Marco ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2002_03.

    Full description at Econpapers || Download paper

  9. Volatility bias in the GARCH model: a simulation study. (2002). Pérez-Rodríguez, Jorge ; Gonzalez, Eduardo Acosta ; Rodriguez, Jorge Perez.
    In: Documentos de trabajo conjunto ULL-ULPGC.
    RePEc:can:series:2002-02.

    Full description at Econpapers || Download paper

  10. A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchang. (2002). Ventosa-Santaulària, Daniel.
    In: UFAE and IAE Working Papers.
    RePEc:aub:autbar:513.02.

    Full description at Econpapers || Download paper

  11. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

  12. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

  13. Modelling the Impact of Overnight Surprises on Intra-daily Stock Returns. (2001). Hong, Yongmiao ; Gallo, Giampiero ; Lee, Tae-Why.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2001_03.

    Full description at Econpapers || Download paper

  14. The hidden dangers of historical simulation. (2001). Pritsker, Matthew.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2001-27.

    Full description at Econpapers || Download paper

  15. GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA. (2001). Depken, Craig.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:4:y:2001:n:2:p:313-327.

    Full description at Econpapers || Download paper

  16. A NON LINEAR TIME SERIES APPROACH TO MODELLING ASYMMETRY IN STOCK MARKET INDEXES. (2000). Storti, Giuseppe ; Amendola, Alessandra.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:97.

    Full description at Econpapers || Download paper

  17. VALUE AT RISK INCORPORATING DYNAMIC PORTFOLIO MANAGEMENT. (2000). Lawrence, Stephen.
    In: Computing in Economics and Finance 2000.
    RePEc:sce:scecf0:147.

    Full description at Econpapers || Download paper

  18. Empirical Pricing Kernels. (2000). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-014.

    Full description at Econpapers || Download paper

  19. Pre-announcement effects, news, and volatility: monetary policy and the stock market. (2000). Bomfim, Antulio N..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2000-50.

    Full description at Econpapers || Download paper

  20. Properties of Estimates of Daily GARCH Parameters Based on Intra-Day Observations. (2000). Zinde-Walsh, Victoria ; Galbraith, John.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1800.

    Full description at Econpapers || Download paper

  21. Evaluating Asset Pricing Implications of DSGE Models. (2000). Schorfheide, Frank ; Reffett, Kevin.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1630.

    Full description at Econpapers || Download paper

  22. One-Sided Testing for ARCH Effect Using Wavelets. (2000). Lee, Jin .
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1214.

    Full description at Econpapers || Download paper

  23. Non-Linear Markov Modelling Using Canonical Variate Analysis: Forecasting Exchange Rate Volatility. (2000). Mees, Alistair ; Pilgram, Berndt.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:1162.

    Full description at Econpapers || Download paper

  24. Higher-order dependence in the general Power ARCH process and a special case. (1999). Teräsvirta, Timo ; He, Changli.
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0315.

    Full description at Econpapers || Download paper

  25. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Staff Reports.
    RePEc:fip:fednsr:82.

    Full description at Econpapers || Download paper

  26. Heat waves, meteor showers, and trading volume: an analysis of volatility spillovers in the U.S. Treasury market. (1999). Lopez, Jose ; Fleming, Michael.
    In: Working Papers in Applied Economic Theory.
    RePEc:fip:fedfap:99-09.

    Full description at Econpapers || Download paper

  27. The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations. (1999). Beine, Michel ; Benassy-Quere, Agnès ; Christine Lecourt Keywords : Exchange rates; offic, .
    In: Working Papers.
    RePEc:cii:cepidt:1999-14.

    Full description at Econpapers || Download paper

  28. Fiscal Policy and the Term Premium in Real Interest Rate Differentials. (1998). Flavin, Thomas ; Limosani, Michele G..
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n830498.

    Full description at Econpapers || Download paper

  29. An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming. (1998). Lee, Chi-Wen Jevons ; Chidambaran, N. K. ; Trigueros, Joaguin R..
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-086.

    Full description at Econpapers || Download paper

  30. Testing the Volatility Term Structure using Option Hedging Criteria. (1998). Rosenberg, Joshua ; Engle, Robert.
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:98-031.

    Full description at Econpapers || Download paper

  31. Quadratic M-Estimators for ARCH-Type Processes. (1998). Renault, Eric ; Meddahi, Nour.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:98s-29.

    Full description at Econpapers || Download paper

  32. Estimation of Time-Varying Hedge Ratios for Corn and Soybeans: BGARCH and Random Coefficient Approaches. (1997). Garcia, Philip ; Bera, Anil ; Roh, Jae-Sun .
    In: Finance.
    RePEc:wpa:wuwpfi:9712007.

    Full description at Econpapers || Download paper

  33. Converting 1-Day Volatility to h-Day Volatitlity: Scaling by Root-h is Worse Than You Think. (1997). Schuermann, Til ; Inoue, Atsushi ; Diebold, Francis ; Hickman, Andrew.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:97-34.

    Full description at Econpapers || Download paper

  34. Identifying the Common Component in International Economic Fluctuations. (1997). Prasad, Eswar ; Lumsdaine, Robin L..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5984.

    Full description at Econpapers || Download paper

  35. What determines the exchange rate: economic factors or market sentiment?. (1997). Hopper, Gregory P..
    In: Business Review.
    RePEc:fip:fedpbr:y:1997:i:sep:p:17-29.

    Full description at Econpapers || Download paper

  36. Model error. (1997). Simons, Katerina.
    In: New England Economic Review.
    RePEc:fip:fedbne:y:1997:i:nov:p:17-28.

    Full description at Econpapers || Download paper

  37. A closed-form GARCH option pricing model. (1997). Nandi, Saikat ; Heston, Steven L..
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:97-9.

    Full description at Econpapers || Download paper

  38. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

    Full description at Econpapers || Download paper

  39. A Multifractal Model of Asset Returns. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1164.

    Full description at Econpapers || Download paper

  40. Seasonal Adjustment and Volatility Dynamics. (1997). Siklos, Pierre ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:97s-39.

    Full description at Econpapers || Download paper

  41. Calculating Value-at-Risk. (1996). Fallon, William.
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:96-49.

    Full description at Econpapers || Download paper

  42. ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test. (1996). Nakatsuma, Teruo ; Tsurumi, Hiroki .
    In: Departmental Working Papers.
    RePEc:rut:rutres:199619.

    Full description at Econpapers || Download paper

  43. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
    In: Working Papers.
    RePEc:osu:osuewp:005.

    Full description at Econpapers || Download paper

  44. Technical Trading Rule Profitability and Foreign Exchange Intervention. (1996). Lebaron, Blake.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5505.

    Full description at Econpapers || Download paper

  45. Public Information and the Persistence of Bond Market Volatility. (1996). Lamont, Owen ; Jones, Charles M. ; Lumsdaine, Robin .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5446.

    Full description at Econpapers || Download paper

  46. Nonlinear Nonparametric Prediction of the 90-Day T-Bill Rate. (1996). Barkoulas, John ; Baum, Christopher ; Onochie, Joseph .
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:320.

    Full description at Econpapers || Download paper

  47. Monetary Instability, the Predictability of Prices and the Allocation of Investment: An Empirical Investigation Using UK Panel Data. (1996). Schiantarelli, Fabio ; Caglayan, Mustafa ; Beaudry, Paul.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:312.

    Full description at Econpapers || Download paper

  48. GARCH Gamma. (1995). Rosenberg, Joshua ; Engle, Robert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5128.

    Full description at Econpapers || Download paper

  49. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-49.

    Full description at Econpapers || Download paper

  50. On Periodic Autogressive Conditional Heteroskedasticity. (1994). Ghysels, Eric ; Bollerslev, Tim.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:94s-03.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-18 10:32:03 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.