This paper estimates the effects of short and long haul volatility (or risk) in monthly Japanese tourist arrivals to … former has an asymmetric effect on risk from positive and negative shocks of equal magnitude, while the latter has no … the issues related to risk and leverage effects, are also applicable to international tourism flows. …

papers that were presented at the 2011 Madrid International Conference on “Risk Modelling and Management” (RMM2011). The … papers cover the following topics: currency hedging strategies using dynamic multivariate GARCH, risk management of risk … under the Basel Accord: A Bayesian approach to forecasting value-at-risk of VIX futures, fast clustering of GARCH processes …