Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …

their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …

accounts for time variation in macroeconomic volatility, known as the great moderation. In particular, we consider an … volatility processes and mixture distributions for the irregular components and the common cycle disturbances enable us to … that time-varying volatility is only present in the a selection of idiosyncratic components while the coefficients driving …