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Aggregation, Heterogeneous Autoregression And Volatility Of Daily International Tourist Arrivals And Exchange Rates

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  • CHIA-LIN CHANG
  • MICHAEL MCALEER

Abstract

TTourism is a major source of service receipts. The two leading tourism countries for Taiwan are Japan and USA. Daily data from 1/1/1990 to 31/12/2008 are used to model tourist arrivals from the world, USA and Japan to Taiwan, as well as their associated volatility. Inclusion of the exchange rate allows approximate daily price effects to be captured. The Heterogeneous Autoregressive (HAR) model is used to approximate long memory properties in daily exchange rates and international tourist arrivals, test whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional mean, examine asymmetry and leverage in volatility, and examine the effects of temporal and spatial aggregation. Asymmetry (though not leverage) is found for several alternative HAR models. For policy purposes, the empirical results suggest that an arbitrary choice of data frequency or spatial aggregation will not lead to robust findings.

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Bibliographic Info

Article provided by Japanese Economic Association in its journal Japanese Economic Review.

Volume (Year): 63 (2012)
Issue (Month): 3 (09)
Pages: 397-419

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Handle: RePEc:bla:jecrev:v:63:y:2012:i:3:p:397-419

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References

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  2. Chia-Lin Chang & Michael McAleer & Dan Slottje, 2009. "Modelling International Tourist Arrivals and Volatility: An Application to Taiwan," "Marco Fanno" Working Papers 0097, Dipartimento di Scienze Economiche "Marco Fanno".
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Citations

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Cited by:
  1. Chang, Chia-Lin & Hsu, Hui-Kuang & McAleer, Michael, 2013. "Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 519-534.
  2. Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer, 2010. "Estimating Price Effects in an Almost Ideal Demand Model of Outbound Thai Tourism to East Asia," Working Papers in Economics 10/11, University of Canterbury, Department of Economics and Finance.
  3. Chang, Chia-Lin, 2014. "Modelling a Latent Daily Tourism Financial Conditions Index," MPRA Paper 54887, University Library of Munich, Germany.
  4. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Tinbergen Institute Discussion Papers 13-008/III, Tinbergen Institute.

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