Modelling multivariate international tourism demand and volatility

By Felix Chan, Christine Lim, Michael Mcaleer. 2005

231 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Sociology and Political Science, Tourism, Leisure and Hospitality Management

View Paper: https://www.semanticscholar.org/paper/18630adfbd8fb40ad2ae7986bee96b65a10f984c

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Citations in the corpus

On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness (2012, methodology): “In this article, we propose to use the VAR(1)–GARCH(1,1) model, introduced by Ling and McAleer (2003) and applied by Chan et al. (2005), Chang et al. (2011) and Hammoudeh et al. (2009) to various economic issues, to investigate the volatility transmission between oil and sector stock prices in…”
Return and volatility transmission between world oil prices and stock markets of the GCC countries (2011, background): “Introduced by Ling and McAleer (2003), this approach was applied by, among others, Chan et al. (2005), and Hammoudeh et al. (2009) to tourism demand variations and stock markets, and appears to provide meaningful and interpretable coefficients.”
Tourism demand modelling and forecasting—A review of recent research (2008, methodology): “Chan et al (2005) applied three multivariate GARCH models to examine the volatility of tourism demand and the effects of various shocks in the tourism demand models.”
Oil price fluctuation, volatility spillover and the Ghanaian equity market: Implication for portfolio management and hedging effectiveness (2014, methodology): “While a number of authors have applied the VAR–GARCH approach to various economic issues (e.g. Arouri et al., 2012; Chan et al., 2005; Chang et al., 2011; Hammoudeh et al., 2009, 2010), to our knowledge, this study will be the first to apply the VAR–AGARCH model to emerging stock markets.”
Correlations and volatility spillovers across commodity and stock markets: Linking energies, food, and gold (2013, methodology): “VAR(k)-GARCH(p,q) was proposed by Ling and McALeer (2003) and later applied by several researchers, such as Chan et al. (2005), Hammoudeh et al. (2009) and Arouri et al. (2011).”