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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 - Department of Economics and Finance, College of … - 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 2008 to 29 June 2012 for 999 firms are used, which covers the …
Persistent link: https://www.econbiz.de/10010907400
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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 - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 519-534
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 2008 to 29 June 2012 for 999 firms are used, which covers the …
Persistent link: https://www.econbiz.de/10010730245
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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Chang, Chia-Lin; McAleer, Michael; Hsu, Hsu, H-K. - Faculteit der Economische Wetenschappen, Erasmus … - 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 2008 to 29 June 2012 for 999 firms are used, which covers the …
Persistent link: https://www.econbiz.de/10010732626
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Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism
Chang, Chia-Lin; McAleer, Michael; Hsu, Hui-Kuang - Facultad de Ciencias Económicas y Empresariales, … - 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 2008 to 29 June 2012 for 999 firms are used, which covers the …
Persistent link: https://www.econbiz.de/10010778722
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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 - 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 2008 to 29 June 2012 for 999 firms are used, which covers the …
Persistent link: https://www.econbiz.de/10010599816
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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 - Tinbergen Instituut - 2013
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 2008 to 29 June 2012 for 999 firms are used, which covers the Global Financial …
Persistent link: https://www.econbiz.de/10011256725
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Conditional Variances in UK Regional House Prices
Willcocks, Geoff - In: Spatial Economic Analysis 5 (2010) 3, pp. 339-354
Abstract The returns of house price indices for the 13 UK regions are modelled using time series processes, including conditional variances. The first conclusion is that the UK follows the USA, with some regions displaying time-varying variances and others with constant variances. Secondly,...
Persistent link: https://www.econbiz.de/10008691541
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Oil shocks and their impact on energy related stocks in China
Broadstock, David C.; Cao, Hong; Zhang, Dayong - In: Energy Economics 34 (2012) 6, pp. 1888-1895
This paper contributes to the current literature by adopting time varying conditional correlation and asset pricing models to discover how the dynamics of international oil prices affect energy related stock returns in China. After conditioning for structural instability, the results show a much...
Persistent link: https://www.econbiz.de/10010587988
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Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
Hammoudeh, Shawkat; McAleer, Michael; Yuan, Yuan, Y. - Faculteit der Economische Wetenschappen, Erasmus … - 2010
exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …
Persistent link: https://www.econbiz.de/10010732633
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Exchange Rate and Industrial Commodity Volatility Transmissions, Asymmetries and Hedging Strategies
Hammoudeh, Shawkat M.; Yuan, Yuan; McAleer, Michael - Department of Economics and Finance, College of … - 2010
exchange rate increases the significant direct and indirect past shock and volatility effects on future volatility between the …
Persistent link: https://www.econbiz.de/10008465229