Time‐varying volatility modelling of Baltic stock markets
Journal of Business Economics and Management, 2010 As time‐varying volatility has found applications in roughly all time series modelling in economics, it largely draws attention in the areas of financial markets.
Bora Aktan +2 more
doaj +1 more source
Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO [PDF]
The hog industry, where prices are determined according to an auction system, is of vital importance to the agricultural industry in Taiwan by providing significant production and employment.
Biing-Wen Huang +3 more
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Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates [PDF]
Tourism is a major source of service receipts for many countries, including Taiwan. The two leading tourism countries for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of short and long ...
Chang, C-L., McAleer, M.J.
core +1 more source
Green Hydrogen Market and Green Cryptocurrencies: A Dynamic Correlation Analysis
CommoditiesThe urgent need to mitigate climate change has elevated green hydrogen as a sustainable alternative to fossil fuels, while green cryptocurrencies have emerged to address the environmental concerns of traditional cryptocurrency mining.
Eder J. A. L. Pereira +2 more
doaj +1 more source
Modelling Changes in the Unconditional Variance of Long Stock Return Series [PDF]
In this paper we develop a testing and modelling procedure for describing the long-term volatility movements over very long return series. For the purpose, we assume that volatility is multiplicatively decomposed into a conditional and an unconditional ...
Cristina Amado, Timo Terasvirta
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Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations [PDF]
In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure.
Cristina Amado, Timo Teräsvirta
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"Risk Management for International Tourist Arrivals: An Application to the Balearic Islands, Spain" [PDF]
Spain is a leader in terms of total international tourist arrivals and receipts. The Balearic Islands are one of the most popular destinations in Spain. For tourism management and marketing, it is essential to forecast tourist arrivals accurately.
Ana Bartolome +3 more
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International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord [PDF]
A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c).
Juan-Ángel Jiménez-Martín +2 more
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The impact of economic sentiment on European stock markets
Entrepreneurial Business and Economics ReviewObjective: This article aims to analyse the impact of sentiment indicators reflecting the condition of major economies on the returns and volatility of European developed, emerging, and frontier stock markets.
Anna Czapkiewicz +2 more
doaj +1 more source
"Modelling and Forecasting Daily International Mass Tourism to Peru" [PDF]
Peru is a South American country that is divided into two parts by the Andes Mountains. The rich historical, cultural and geographic diversity has led to the inclusion of ten Peruvian sites on UNESCO's World Heritage List.
Jose Angelo Divino, Michael McAleer
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