Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael;
Publisher: Erasmus School of Economics
Subject: weekly effects | approximate long memory | GARCH | international tourist arrivals | G32 | EGARCH, G32, GARCH, GJR, HAR, approximate long memory, asymmetry, leverage, daily effects, exchange rates, global financial crisis, international tourist arrivals, spatial aggregation, temporal aggregation, weekly effects | EGARCH | GJR | daily effects | Indicadores económicos | Econometría | exchange rates | HAR | asymmetry, leverage | spatial aggregation | temporal aggregation | International tourist arrivals, exchange rates, exchange rate volatility, GARCH, GJR, EGARCH, HAR, long memory, temporal and spatial aggregation, daily and weekly effects, asymmetry, leverage. | global financial crisis | International tourist arrivals; exchange rates; global financial crisis; GARCH, GJR; EGARCH; HAR; approximate long memory; temporal aggregation; spatial aggregation; daily effects; weekly effects; asymmetry; leverage | International tourist arrivals, exchange rates, global financial crisis, GARCH, GJR, EGARCH, HAR, approximate long memory, temporal aggregation, spatial aggregation, daily effects, weekly effects, asymmetry, leverage.
jel: jel:F31 | jel:C22 | jel:G32 | jel:G18
textabstractTourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul to... View more
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