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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates
Chang, Chia-Lin; McAleer, Michael - Department of Economics and Finance, College of … - 2010
mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10010627491
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Asymmetric effects and long memory in dynamic volatility relationships between stock returns and exchange rates
Chkili, Walid; Aloui, Chaker; Nguyen, Duc Khuong - In: Journal of International Financial Markets, … 22 (2012) 4, pp. 738-757
dollar exchange rates as case study, our results show strong evidence of asymmetry and long memory in the conditional …
Persistent link: https://www.econbiz.de/10010702741
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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
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
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
memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the … $ exchange rate are statistically adequate and have sensible interpretations. Asymmetry (though not leverage) is found for …
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, C-L.; McAleer, M.J. - Erasmus University Rotterdam, Econometric Institute - 2010
mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The … and have sensible interpretations. Asymmetry (though not leverage) is found for several alternative HAR models for the …
Persistent link: https://www.econbiz.de/10008584742
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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
of conditional volatility are sensitive to the long memory in the conditional mean, to examine asymmetry and leverage in …
Persistent link: https://www.econbiz.de/10009141353
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Recent developments in financial economics and econometrics: An overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 217-226
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...
Persistent link: https://www.econbiz.de/10011056697
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On the relation between stock prices and exchange rates: a review article
Bahmani-Oskooee, Mohsen; Saha, Sujata - In: Journal of Economic Studies 42 (2015) 4, pp. 707-732
Purpose – While changes in stock prices are said to affect exchange rates, exchange rate changes are also said to affect stock prices. The purpose of this paper is threefold. First, the authors review all empirical literature by dividing them into two groups of univariate and multivariate...
Persistent link: https://www.econbiz.de/10014864095
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The overconfident trading behavior of individual versus institutional investors
Liu, Hsiang-Hsi; Chuang, Wen-I; Huang, Jih-Jeng; Chen, … - In: International review of economics & finance : IREF 45 (2016), pp. 518-539
Persistent link: https://www.econbiz.de/10011626536
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The asymmetric reactions of mean and volatility of stock returns to domestic and international information based on a four-regime double-threshold GARCH model
Chen, Cathy W.S.; Yang, Ming Jing; Gerlach, Richard; … - In: Physica A: Statistical Mechanics and its Applications 366 (2006) C, pp. 401-418
-Threshold GARCH (DTGARCH) model, which allows asymmetry in both the conditional mean and variance equations simultaneously by …
Persistent link: https://www.econbiz.de/10010591374