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Dynamic Conditional Correlations for Asymmetric Processes
Asai, Manabu; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
applies the wDCC approach to the exponential GARCH (EGARCH) and GJR models to propose asymmetric DCC models. We use the … trivariate data of the Nikkei 225, Hang Seng and Straits Times Indices for estimating and forecasting the wDCC-EGARCH and wDCC … wDCC-EGARCH model to the wDCC-GJR, asymmetric BEKK and alternative conventional DCC models. Moreover, the empirical results …
Persistent link: https://www.econbiz.de/10009291890
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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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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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The interrelationship among the international stock markets
Pérez-Íñigo, Juan Mascareñas; Hernández, José - Facultad de Ciencias Económicas y Empresariales, … - 1988
Without doubt from an economic point of view, the stock markets of the principal countries are more and more related among them. Though this affirmation has more clearly arisen as a truth from the October 1987 crash, initially one of the most surprising things was the strange similarity among...
Persistent link: https://www.econbiz.de/10011273019