Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - Institute of Economic Research, Kyoto University - 2012
This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in the volatility specification. Daily data from 1 July...