Carlo methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed …

methods. The effects of several model characteristics (unit roots, GARCH, stochastic volatility, heavy tailed disturbance … several alternative hedge strategies. These payoffs indicate that modelling time-varying features of exchange rate returns may … lead to improved hedge behaviour within currency overlay management. …

the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …

conditional mean specifications. The QMLE for the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for world, US and Japanese tourist …

the GARCH(1,1), GJR(1,1) and EGARCH(1,1) models for Korean tourist arrivals to Taiwan and the Korean Won / New Taiwan …

This paper adopts a multivariate asymmetric dynamic conditional correlation GARCH model to examine the interdependence …

, and Slovakia) using GARCH and TARCH models between 1999 and 2006. Despite these countries adopted inflation targeting …