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~isPartOf:"Documentos de Trabajo del ICAE"
~source:"repec"
~subject:"GJR"
~subject:"stock markets"
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GJR
stock markets
Multivariate GARCH
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conditional correlations
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Junta de Comunidades de Castilla-La Mancha (PCI08-0089) and Banco de Santander (UCM940063)
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McAleer, Michael
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin
;
McAleer, Michael
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan are Japan and USA, which are sources of short and long haul tourism, respectively. As a strong domestic currency can have adverse effects on international tourist...
Persistent link: https://www.econbiz.de/10009141353
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2
How Volatile is ENSO?
McAleer, Michael
;
Chu, LanFen
;
Chen, Chi-Chung
-
Facultad de Ciencias Económicas y Empresariales, …
-
2011
results show that both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility …
Persistent link: https://www.econbiz.de/10009141355
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