Taiwan, and their associated volatility. Inclusion of the exchange rate and its volatility captures approximate daily and … weekly price and price volatility effects on world, US and Japanese tourist arrivals to Taiwan. The Heterogeneous … of conditional volatility are sensitive to the long memory in the conditional mean, to examine asymmetry and leverage in …

Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …

associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global … alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional … mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The …

Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …

associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the global … alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the conditional … mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation. The …

their associated volatility. Inclusion of the exchange rate allows approximate daily price effects to be captured. The … 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 …

Korean Won / New Taiwan $ exchange rate and tourist arrivals from Korea to Taiwan, as well as their associated volatility … and Korean tourist arrivals, to test whether alternative estimates of conditional volatility are sensitive to the long … memory in the conditional mean, and to examine asymmetry and leverage in volatility. The empirical results show that the …

their associated volatility. The sample period includes the Asian economic and financial crises in 1997, and part of the … whether alternative short and long run estimates of conditional volatility are sensitive to the approximate long memory in the … conditional mean, to examine asymmetry and leverage in volatility, and to examine the effects of temporal and spatial aggregation …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …