Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Year of publication: |
2010-03-02
|
---|---|
Authors: | Chang, Chia-Lin ; McAleer, Michael |
Institutions: | Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam |
Subject: | EGARCH | GARCH | GJR | HAR | approximate long memory | asymmetry | leverage | daily effects | exchange rates | global financial crisis | international tourist arrivals | spatial aggregation | temporal aggregation | weekly effects |
Extent: | application/pdf |
---|---|
Series: | Econometric Institute Research Papers. - ISSN 1566-7294. |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series RePEc:ems:eureir Number EI 2010-15 |
Classification: | C22 - Time-Series Models ; F31 - Foreign Exchange ; G18 - Government Policy and Regulation |
Source: |
-
Chang, Chia-Lin, (2010)
-
Chang, Chia-Lin, (2010)
-
Chang, C-L., (2010)
- More ...
-
Chang, Chia-Lin, (2015)
-
Econometric Analysis of Financial Derivatives
Chang, Chia-Lin, (2014)
-
Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia
Chang, Chia-Lin, (2010)
- More ...