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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732596
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, Chia-Lin; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10010732623
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Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan
Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008570643
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Daily tourist arrivals, exchange rates and volatility for Korea and Taiwan
Chang, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2009
the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …
Persistent link: https://www.econbiz.de/10008584711
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Facultad de Ciencias Económicas y Empresariales, … - 2011
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan are Japan and USA, which are sources of short and long haul tourism, respectively. As a strong domestic currency can have adverse effects on international tourist...
Persistent link: https://www.econbiz.de/10009141353
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Score-driven models for realized volatility
Harvey, Andrew C.; Palumbo, Dario - 2019
Persistent link: https://www.econbiz.de/10012703124
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Long Memory Processes and Structural Breaks in Stock Returns and Volatility: Evidence from the Egyptian Exchange
Ezzat, Hassan - Volkswirtschaftliche Fakultät, … - 2013
This research investigates the presence of structural breaks in the indices of the Egyptian stock market using the Bai-Perron strcutural breaks test. The indices used are the EGX 30, the EGX 70, the EGX 100, and the EGX 20. The presence of long memory is then investigated using the GPH test and...
Persistent link: https://www.econbiz.de/10011111213
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The impact of German macroeconomic data announcements on the Czech financial market
Moravcová, Michala - 2015
generalized autoregressive conditional heteroscedasticity (GARCH) models are applied. Macroeconomic shocks (GDP, ZEW, IFO, factory …
Persistent link: https://www.econbiz.de/10011340623
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Improving Value-at-Risk estimation from the normal EGARCH model
Gorji, Mahsa; Sajjad, Rasoul - In: Contemporary Economics 11 (2017) 1, pp. 91-106
-correction method can improve the n-GARCH and n-EGARCH VaR forecasts so much that the acquired VaR predictions are different from the … distribution instead of GARCH improves the performance of the bias-correction method in forecasting the VaR for almost all …
Persistent link: https://www.econbiz.de/10011659907
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Return and volatility spillovers in equity markets: An investigation using various GARCH methodologies
Dedi, Lidija; Yavas, Burhan F. - In: Cogent Economics & Finance 4 (2016) 1, pp. 1-18
: Germany, United Kingdom, China, Russia, and Turkey. MARMA, GARCH, GARCH-in-mean, and exponential GARCH (EGARCH) methodologies …
Persistent link: https://www.econbiz.de/10011988707