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~person:"Chang, C-L."
~source:"repec"
~subject:"GJR"
~subject:"stock markets"
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GJR
stock markets
multivariate GARCH
5
conditional correlations
4
volatility spillovers
4
EGARCH
3
GARCH
3
HAR
3
asymmetry
3
exchange rates
3
global financial crisis
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leverage
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Korean tourist arrivals
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crude oil prices
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futures returns
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long memory
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forward and futures prices
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forward returns
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interdependence
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international tourist arrivals
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optimal hedge ratio
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Chang, C-L.
McAleer, Michael
13
Chang, Chia-Lin
6
McAleer, M.J.
4
Abderraheem, Sadeq
3
Al-Zoubi, Haitham
3
Chen, Chi-Chung
3
Chu, LanFen
3
Maghyereh, Aktham
3
Abbes, Mouna Boujelbène
2
Aslam, Muhammad
2
Belke, Ansgar
2
Gokus, Christian
2
Guesmi, Khaled
2
Pasha, G.R.
2
Qasim, Tahira
2
Saidi, Youssef
2
Abbes, Mouna Boujelbene
1
Abdalla, Abdelgader M.A.
1
Abdelhedi-Zouch, Mouna
1
Abid, Ilyes
1
Abou-Zaid, Ahmed S.
1
Al-Khouri, Ritab S.
1
Al-Zeaud, Hussein Ali
1
Ardia, David
1
Azar, Samih Antoine
1
Basmajian, Loucine
1
Bekiros, Stelios D.
1
Boujelbene, Younes
1
Boujelbène, Younes
1
Caporale, Guglielmo Maria
1
Chan, Felix
1
Chen, C-C.
1
Chen, Chen, C-C.
1
Chu, Chu, L.
1
Chu, L.F.
1
Dajcman, Silvo
1
El Ghini, Ahmed
1
Fattoum, Salma
1
Fethi, Meryem Duygun
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Erasmus University Rotterdam, Econometric Institute
3
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Econometric Institute Report
3
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RePEc
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2010
conditional mean specifications. The QMLE for the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …
Persistent link: https://www.econbiz.de/10008584742
Saved in:
2
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008570643
Saved in:
3
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, C-L.
;
McAleer, M.J.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
the
GARCH
(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008584711
Saved in:
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