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~accessRights:"free"
~institution:"Erasmus University Rotterdam, Econometric Institute"
~institution:"School of Economics and Management, University of Aarhus"
~subject:"GJR"
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GJR
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McAleer, M.J.
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Chu, L.F.
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Erasmus University Rotterdam, Econometric Institute
School of Economics and Management, University of Aarhus
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
4
Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
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Institute of Economic Research, Kyoto University
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
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How Volatile is ENSO?
Chu, L.F.
;
McAleer, M.J.
;
Chen, C-C.
-
Erasmus University Rotterdam, Econometric Institute
-
2009
both the ARMA(1,1)-
GARCH
(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a …
Persistent link: https://www.econbiz.de/10005034225
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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:
4
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
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