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Estimating the Impact of Avian Flu on International Tourism Demand Using Panel Data
Kuo, Hsiao-I - 2009
This paper investigates the impacts of Avian Flu on global and Asian tourism using panel data procedures. Both static … and dynamic fixed effects panel data models are adopted to estimate the impacts of this infectious disease. The empirical … results from static and dynamic fixed effects panel data models are consistent and indicate that the numbers of affected …
Persistent link: https://www.econbiz.de/10012718479
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Down-side risk metrics as portfolio diversification strategies across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper features an analysis of the effectiveness of a range of portfolio diversi cation strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically compounded returns on a...
Persistent link: https://www.econbiz.de/10011376286
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Down-side risk metrics as portfolio diversification strategies across the global financial crisis
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-18
This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in...
Persistent link: https://www.econbiz.de/10011543960
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An Econometric Analysis of SARS and Avian Flu on International Tourist Arrivals to Asia
McAleer, Michael - 2009
This paper compares the impacts of SARS and human deaths arising from Avian Flu on international tourist arrivals to Asia. The effects of SARS and human deaths from Avian Flu will be compared directly according to human deaths. The nature of the short run and long run relationship is examined...
Persistent link: https://www.econbiz.de/10012718825
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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
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...
Persistent link: https://www.econbiz.de/10010326433
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Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724114
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A Non-Parametric and Entropy Based Analysis of the Relationship between the VIX and S&P 500
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2013
This paper features an analysis of the relationship between the S&P 500 Index and the VIX using daily data obtained from both the CBOE website and SIRCA (The Securities Industry Research Centre of the Asia Pacific). We explore the relationship between the S&P 500 daily continuously compounded...
Persistent link: https://www.econbiz.de/10010326508
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...
Persistent link: https://www.econbiz.de/10010362978
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A Tourism Conditions Index
Chang, Chia-Lin; Hsu, Hui-Kuang; McAleer, Michael - 2014
This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of the multivariate BEKK model for four TCI indicators...
Persistent link: https://www.econbiz.de/10010227695
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...
Persistent link: https://www.econbiz.de/10010384390