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Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Digital文書・図像類
McAleer, Michael, Chang, Chia-Lin, Tansuchat, RoengchaiInstitute of Economic Research, Kyoto University2012-05KIER Discussion Paper817
Available onlineOther Libraries in Japan
  • Subject HeadingLong memory agricultural commodity futures fractional integration asymmetric conditional volatility

Risk Management of Precious Metals

Risk Management of Precious Metals
Digital文書・図像類
Hammoudeh, Shawkat, Malik, Farooq, McAleer, MichaelInstitute of Economic Research, Kyoto University2011-03KIER Discussion Paper765
Available onlineOther Libraries in Japan
  • Subject HeadingPrecious metals conditional volatility risk management value-at-risk

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan

Modelling the Volatility in Short and Long Haul Japanese Tourist Arrivals to New Zealand and Taiwan
Digital文書・図像類
Chang, Chia-Lin, McAleer, Michael, Lim, ChristineInstitute of Economic Research, Kyoto University2011-07KIER Discussion Paper783
Available onlineOther Libraries in Japan
  • Summary, etc....and asymmetric conditional volatility models that are commonly used...
  • Subject HeadingTourist arrivals long haul short haul risk conditional volatility asymmetric effect leverage

Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan

Modelling Short and Long Haul Volatility in Japanese Tourist Arrivals to New Zealand and Taiwan
Paper文書・図像類
Chang, Chia-Lin, McAleer, Michael, Lim, Christine日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-647
Other Libraries in Japan
  • Subject HeadingTourist arrivals risk conditional volatility asymmetric effect leverage JE...

Modelling and Forecasting Daily International Mass Tourism to Peru

Modelling and Forecasting Daily International Mass Tourism to Peru
Paper文書・図像類
Divino, Jose Angelo, Michael, McAleer日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-651
Other Libraries in Japan
  • Subject Heading...al Mean Models Conditional Volatility Models JEL codes: C51; C53.

Modelling Sustainable International Tourism Demand to the Brazilian Amazon

Modelling Sustainable International Tourism Demand to the Brazilian Amazon
Paper文書・図像類
Divino, Jose Angelo, Michael, McAleer日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-650
Other Libraries in Japan
  • Subject Heading...ries Modelling Conditional Volatility Models Forecasting JEL: C22; ...

Cruising is Risky Business

Cruising is Risky Business
Paper文書・図像類
Bartolomé, Ana, McAleer, Michael, Ramos, Vicente, Rey-Maquieira, Javier日本経済国際共同センター2009-09Discussion paper series. CIRJE-FCIRJE-F-664
Other Libraries in Japan
  • Subject Heading...nses to shocks Conditional volatility models Cruise passenger arriv...

Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO

Modelling the Asymmetric Volatility in Hog Prices in Taiwan: The Impact of Joining the WTO
Paper文書・図像類
Chang, Chia-Lin, Huang, Biing-Wen, Chen, Meng-Gu, McAleer, Michael日本経済国際共同センター2009-08Discussion paper series. CIRJE-FCIRJE-F-642
Other Libraries in Japan
  • Subject HeadingHog prices joining the WTO conditional volatility models asymmetry leverage mom...

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns

Modelling Long Memory Volatility in Agricultural Commodity Futures Returns
Paper文書・図像類
Tansuchat, Roengchai, Chang, Chia-Lin, McAleer, Michael日本経済国際共同センター2009-10Discussion paper series. CIRJE-FCIRJE-F-680
Other Libraries in Japan
  • Subject Heading...ion asymmetric conditional volatility JEL Classifications: Q14, Q11...

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