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Multivariate Volatility And Spillover Effects In Financial Markets, Bernardo Veiga, Michael Mcaleer
Multivariate Volatility And Spillover Effects In Financial Markets, Bernardo Veiga, Michael Mcaleer
International Congress on Environmental Modelling and Software
The relationship between volatility and risk has been one of the main factors underlying the interest in volatility modelling. An important question for international diversification is whether shocks in one market influence, or have spillovers into, returns and volatility in other markets. This paper tests for the existence of volatility spillovers among the SandP 500, FTSE 100 and Nikkei 225 stock indexes using intra-daily data from 12/10/1992 to 7/7/2003. Existing work is extended through the application of the vector autoregressive moving average asymmetric generalised autoregressive conditional heteroskedasticity (VARMA-AGARCH) model of Chan, Hoti and McAleer (2002). The results suggest the presence …
International Tourism Demand And Volatility Models For The Canary Islands, Suhejla Hoti, Carmelo J. León, Michael Mcaleer
International Tourism Demand And Volatility Models For The Canary Islands, Suhejla Hoti, Carmelo J. León, Michael Mcaleer
International Congress on Environmental Modelling and Software
International tourism is an important source of service exports to Spain and its regions, particularly the Canary Islands. Tourism is the major industry in the Canary Islands, accounting for about 22% of GDP. This paper examines time series of international tourism demand to the Canary Islands collected by the National Airport Administration (AENA) at airports from information regarding the number of tourist arrivals from abroad. The data set comprises monthly figures for the Canary Islands from 14 leading tourist source countries, as well as total tourist arrivals, from 1990(1)-2003(12). Tourist arrivals and associated volatilities for the monthly tourism data are …
Testing The Sensitivity Of Spillover Effects Across Financial Markets, Bernardo Veiga, Michael Mcaleer
Testing The Sensitivity Of Spillover Effects Across Financial Markets, Bernardo Veiga, Michael Mcaleer
International Congress on Environmental Modelling and Software
Although market interdependence would seem to be conceptually straightforward, being based on international fundamentals, there are no generally accepted testing strategies. This paper tests for the sensitivity of the empirical results reported in Veiga and McAleer (2004), who use the vector autoregressive moving average asymmetric generalised autoregressive conditional heteroskedasticity (VARMA-AGARCH) model of Chan, Hoti and McAleer (2002) to test for the existence of volatility spillovers among FTSE 100, SandP 500 and Nikkei 225. The existing literature is extended to analyse the robustness of the empirical results reported in Veiga and McAleer (2004) to: (1) the choice of currency used to …
Modelling Conditional Correlations In International Tourism Demand, Felix Chan, Michael Mcaleer, Christine Lim
Modelling Conditional Correlations In International Tourism Demand, Felix Chan, Michael Mcaleer, Christine Lim
International Congress on Environmental Modelling and Software
International tourism demand, or tourist arrivals, to Australia has recently experienced dramatic fluctuations due to changes in the economic, financial and political environment. However, variations in tourism demand, specifically the conditional variance, or volatility, have not previously been investigated. An analysis of such volatility is essential for investigating the effects of shocks in tourism demand models. This paper models the conditional mean and conditional variance of the logarithm of the monthly tourist arrival rate from the four leading tourism source countries to Australia, namely Japan, New Zealand, UK and USA, using three multivariate static or constant conditional correlation (CCC) volatility …
Modelling The Volatility In Country Risk For Small Island Tourism Economies, Suhejla Hoti, Michael Mcaleer, Riaz Shareef
Modelling The Volatility In Country Risk For Small Island Tourism Economies, Suhejla Hoti, Michael Mcaleer, Riaz Shareef
International Congress on Environmental Modelling and Software
Small Island Tourism Economies (SITEs) differ significantly in their size, location, politicalsystems, historical experience, economic prospects, ecological fragility, and vulnerability to ethnic conflicts,crime, and the threat of global terrorism. Given these differences, a careful analysis of country risk and itscomponents for the SITEs is of great interest to private tourism operators and foreign direct investors in thetourism and hospitality industry, tourism commissions and governments. This paper provides a comparisonof country risk ratings, risk returns and associated volatilities for six SITEs for which monthly data compiledby the International Country Risk Guide are available. Monthly economic, financial, political and compositecountry risk returns …