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Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | 2013-01This paper examines the size effects of volatility spillovers for firm performance and exchange rates with asymmetry in the Taiwan tourism industry. The analysis is based on two conditional multivariate models, BEKK-AGARCH and VARMA-AGARCH, in t[...]texto impreso
Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | 2013-08This paper investigates the stock returns and volatility size effects for firm performance in the Taiwan tourism industry, especially the impacts arising from the tourism policy reform that allowed mainland Chinese tourists to travel to Taiwan. [...]texto impreso
Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | 2014-01This paper uses monthly data from April 2005 to August 2013 for Taiwan to propose a novel tourism indicator, namely the Tourism Conditions Index (TCI). TCI accounts for the spillover weights based on the Granger causality test and estimates of t[...]texto impreso
Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | 2014The paper uses monthly data on financial stock index returns, tourism stock sub-index returns, effective exchange rate returns and interest rate differences from April 2005 – August 2013 for Taiwan that applies Chang’s (2014) novel approach for [...]texto impreso
Chang, Chia-Lin ; Hsu, Hui-Kuang ; McAleer, Michael | Facultad de CC Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2017The paper uses monthly data on tourism related factors from April 2005 - June 2016 for Taiwan that applies factor analysis and Chang’s (2015) novel approach for constructing a tourism financial indicator, namely the Tourism Financial Conditions [...]
