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Modelling and Forecasting Daily International Mass Tourism to Peru

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Author Info

  • Jose Angelo Divino

    (Department of Economics, Catholic University of Brasilia)

  • Michael McAleer

    (Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute and Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics, University of Tokyo)

Abstract

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. For the potentially negative impacts of mass tourism on the environment, and hence on future international tourism demand, to be managed appropriately require modelling growth rates and volatility adequately. The paper models the growth rate and volatility (or the variability in the growth rate) in daily international tourist arrivals to Peru from 1997 to 2007. The empirical results show that international tourist arrivals and their growth rates are stationary, and that the estimated symmetric and asymmetric conditional volatility models all fit the data extremely well. Moreover, the estimates resemble those arising from financial time series data, with both short and long run persistence of shocks to the growth rate in international tourist arrivals.

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File URL: http://www.cirje.e.u-tokyo.ac.jp/research/dp/2009/2009cf651.pdf
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Bibliographic Info

Paper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-651.

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Length: 34 pages
Date of creation: Aug 2009
Date of revision:
Handle: RePEc:tky:fseres:2009cf651

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References

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  8. Shiqing Ling & Michael McAleer, 2001. "Stationarity and the Existence of Moments of a Family of GARCH Processes," ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 0535, Institute of Social and Economic Research, Osaka University.
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  19. Shiqing Ling & Michael McAleer, 2001. "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models," ISER Discussion Paper, Institute of Social and Economic Research, Osaka University 0534, Institute of Social and Economic Research, Osaka University.
  20. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(02), pages 280-310, April.
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Citations

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Cited by:
  1. Chia-Lin Chang & Thanchanok Khamkaew & Michael McAleer & Roengchai Tansuchat, 2010. "Interdependence of International Tourism Demand and Volatility in Leading ASEAN Destinations," Working Papers in Economics 10/27, University of Canterbury, Department of Economics and Finance.
  2. Chang, C-L. & McAleer, M.J., 2010. "Aggregation, Heterogeneous Autoregression and Volatility of Daily International Tourist Arrivals and Exchange Rates," Econometric Institute Research Papers EI 2010-15, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  3. 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".
  4. Chia-Lin Chang & Michael McAleer, 2009. "Daily Tourist Arrivals, Exchange Rates and Volatility for Korea and Taiwan," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-691, CIRJE, Faculty of Economics, University of Tokyo.
  5. LanFen Chu & Michael McAleer & Chi-Chung Chen, 2011. "How Volatile is ENSO?," Documentos de Trabajo del ICAE 2011-21, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  6. Hari Sharma Neupane & Chandra Lal Shrestha & Tara Prasad Upadhyaya, 2012. "Modelling Monthly International Tourist Arrivals and Its Risk in Nepal," NRB Economic Review, Nepal Rastra Bank, Research Department, Nepal Rastra Bank, Research Department, vol. 24(1), pages 28-47, April.
  7. Komkrit Wongkhae & Songsak Sriboonchitta & Kanchana Choketaworn & Chukiat Chaiboonsri, 2012. "Does price matter? The FMOLS and DOLS estimation of industrial countries tourists outbound to four ASEAN countries," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 1(4), pages 107-128, December.

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