The paper examines how empirical models can be constructed to describe the dependence of the error in fitting data to parametric models of probability distributions on the type of distribution, sample size, parent parameter values and percentiles of interest. Such models are important in...

The fast and steady economic growth in China during the 1990s has attracted much international attention. Using the three most recent Chinese input–output tables, this paper investigates industry structure and inter-industry relationships and the relationship of both to economic growth. The...

Although the generalised autoregressive conditional heteroskedasticity (GARCH) model has been quite successful in capturing important empirical aspects of financial data, particularly for the symmetric effects of volatility, it has had far less success in capturing the effects of extreme...

The volatility in agricultural prices, such as for broiler and color broiler chickens in Taiwan, is similar in various aspects to financial volatility as it relates to the risk and returns associated with agricultural production. However, as the characteristics of agricultural markets may be...

The aim of this paper is to investigate the effect of the Chinese B share market reform on the conditional correlation and information transmission between A and B Shares issued in the Shanghai and Shenzen stock exchanges. Daily returns for the Shanghai A share index (SHA), Shanghai B share...

This paper presents a different approach to tourism research at the regional level. Financial econometric techniques are applied to international tourist arrivals, as well as their volatilities, in the five main tourist regions in Spain, using monthly international tourist arrivals during...

This paper investigates the use of a flexible forecasting method based on non-linear Markov modelling and canonical variate analysis, and the use of a prediction algorithm to forecast conditional volatility. We assess the dynamic behaviour of the model by forecasting volatility of a stock index....