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~institution:"Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)"
~institution:"Erasmus University Rotterdam, Econometric Institute"
~subject:"global financial crisis"
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global financial crisis
GARCH
32
long memory
8
fractional integration
6
EGARCH
4
GJR
4
Monte Carlo test
4
asymmetry
4
exact test
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exchange rates
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leverage
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stochastic volatility
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ARCH
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CAPM
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HAR
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bootstrap
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forecasting
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mean-variance efficiency
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multivariate linear regression
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non-normality
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nuisance parameters
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out-of-sample
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specification test
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test de Monte Carlo
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test de spécification
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uniform linear hypothesis
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'power variation'
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Bayesian decision making
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CUSUM
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Exchange rates
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Korean tourist arrivals
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Risk management
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Volatility
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capital asset pricing model
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diagnostics
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données de haute fréquence
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heteroskedasticity
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high frequency data
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high-frequency data
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hors échantillon
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Chang, C-L.
3
McAleer, M.J.
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Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
Erasmus University Rotterdam, Econometric Institute
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
3
Department of Economics and Finance, College of Business and Economics
1
Institute of Economic Research, Kyoto University
1
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Econometric Institute Report
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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:
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/10008584711
Saved in:
3
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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