the symmetric AR(1)-GARCH(1, 1), the asymmetric AR(1)-GJR(1, 1), and asymmetric AR(1)-EGARCH(1, 1). Of these, the … electronics patents reaching close to 170,000 in 1997. For the empirical analysis, the time-varying nature of volatility in the … activity, and hence on volatility, both symmetric and asymmetric models of volatility are estimated. The estimated models are …

volatility clustering, short and long run persistence of shocks to the index returns, and asymmetric leverage between positive …, environmental and social. Risk (or uncertainty) is analysed empirically through the use of conditional volatility models of … econometric models to determine the underlying conditional volatility, with the estimates showing that there is strong evidence of …

memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan … Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility …

mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist … associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global …

memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan … Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility …

approximate long memory in the conditional mean, examine asymmetry and leverage in volatility, and examine the effects of temporal … their associated volatility. Inclusion of the exchange rate allows approximate daily price effects to be captured. The … tourist arrivals, test whether alternative short and long run estimates of conditional volatility are sensitive to the …

mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist … associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global …

memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan … Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility …

memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan … Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility …

mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist … associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global …