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~person:"McAleer, Michael"
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McAleer, Michael
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1
Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin
-
2009
Both domestic and international tourism are a major source of service export receipts for many countries worldwide, and is also increasingly important in Taiwan. One of the three leading tourism source countries for Taiwan is the Republic of Korea, which is a source of short haul tourism. Daily...
Persistent link: https://www.econbiz.de/10013154681
Saved in:
2
Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin
-
2010
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long haul tourism, respectively. As it is well...
Persistent link: https://www.econbiz.de/10013147805
Saved in:
3
How are VIX and stock index ETF related?
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
-
2016
-
Revised: February 2016
affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the
estimation
of ETF returns, so that the …
Persistent link: https://www.econbiz.de/10011441620
Saved in:
4
Asymptotic theory for extended asymmetric multivariate GARCH processes
Asai, Manabu
;
McAleer, Michael
-
2016
statistical inferences to be drawn based on empirical
estimation
. For this purpose, we use an underlying vector random coefficient …
Persistent link: https://www.econbiz.de/10011531127
Saved in:
5
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...
Persistent link: https://www.econbiz.de/10011556166
Saved in:
6
Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin
;
Hsieh, Tai-Lin
;
McAleer, Michael
- In:
Journal of risk and financial management : JRFM
11
(
2018
)
4
,
pp. 1-25
affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the
estimation
of ETF returns, so that the …
Persistent link: https://www.econbiz.de/10011961446
Saved in:
7
Towards an East Asian monetary union : an econometrics analysis of shocks
Satō, Kiyotaka
(
contributor
);
Zhang, Zhaoyong
(
contributor
)
-
2005
Persistent link: https://www.econbiz.de/10003129624
Saved in:
8
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
- In:
The Korean economic review
50
(
2009
)
2
,
pp. 241-267
Persistent link: https://www.econbiz.de/10003926815
Saved in:
9
Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin
;
McAleer, Michael
-
2009
Persistent link: https://www.econbiz.de/10003910516
Saved in:
10
Non-trading day effects in asymmetric conditional and stochastic volatility models
Asai, Manabu
;
McAleer, Michael
- In:
The econometrics journal
10
(
2007
)
1
,
pp. 113-123
Persistent link: https://www.econbiz.de/10003451750
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