Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chia-Lin Chang; Michael McAleer;
Publisher: Erasmus School of Economics
Subject: leverage | Korean tourist arrivals | GARCH | EGARCH | asymmetry | EGARCH, GARCH, GJR, HAR, Korean tourist arrivals, approximate price effect, asymmetry, exchange rates, global financial crisis, leverage, long memory | approximate price effect | GJR | Asian economic and financial crisis | exchange rates | HAR | Asian economic and financial crisis, EGARCH, GARCH, GJR, HAR, Korean tourist arrivals, approximate price effects, asymmetry, exchange rates, global financial crisis, leverage, long memory | global financial crisis | long memory | approximate price effects
jel: jel:F31 | jel:C22 | jel:G32 | jel:G18
textabstractBoth domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is ... View more
Bollerslev, T. (1986), Generalised autoregressive conditional heteroscedasticity, Journal of Econometrics, 31, 307-327.
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).
Chan, F., C. Lim and M. McAleer (2005), Modelling multivariate international tourism demand and volatility, Tourism Management, 26, 459-471.
Chang, C.-L., M. McAleer and D. Slottje (2009), Modelling international tourist arrivals and volatility: An application to Taiwan, in D. Slottje (ed.), Quantifying Consumer Preferences, Contributions to Economic Analysis Series, Volume 288, Emerald Group Publishing, 2009, chapter 11, pp. 303-320.
Corsi, F. (2009), A simple approximate long-memory model of realized volatility, Journal of Financial Econometrics, 7, 174-196.
Dickey, D.A. and W.A. Fuller (1979), Distribution of the estimators for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427-431.
Dickey, D.A. and W.A. Fuller (1981), Likelihood ratio statistics for autoregressive time series with a unit root, Econometrica, 49, 1057-1072.
Divino, J.A. and M. McAleer (2009), Modelling and forecasting sustainable international tourism demand for the Brazilian Amazon, Environmental Modelling & Software, 24, 1411-1419.
Divino, J.A. and M. McAleer (2010), Modelling the growth and volatility in daily international mass tourism to Peru, to appear in Tourism Management.
Elie, L. and T. Jeantheau (1995), Consistency in heteroskedastic models, Comptes Rendus de l'Académie des Sciences, Série I, 320, 1255-1258 (in French).