메뉴 건너뛰기




Volumn 31, Issue 6, 2010, Pages 846-854

Modelling and forecasting daily international mass tourism to Peru

Author keywords

Conditional mean models; Conditional volatility models; Daily international tourim

Indexed keywords

FORECASTING METHOD; GROWTH RATE; INTERNATIONAL TOURISM; MODELING; TOURISM ECONOMICS; TOURISM MANAGEMENT; TOURIST DESTINATION; UNESCO; WORLD HERITAGE SITE;

EID: 77955419124     PISSN: None     EISSN: 02615177     Source Type: Journal    
DOI: 10.1016/j.tourman.2009.09.002     Document Type: Article
Times cited : (53)

References (39)
  • 2
    • 42449156579 scopus 로고
    • Generalised autoregressive conditional heteroscedasticity
    • Bollerslev T. Generalised autoregressive conditional heteroscedasticity. Journal of Econometrics 1986, 31:307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 4
    • 0034216493 scopus 로고    scopus 로고
    • Asymptotic normality for the quasi-maximum likelihood estimator of a GARCH model
    • Serie I, (in French)
    • Boussama F. Asymptotic normality for the quasi-maximum likelihood estimator of a GARCH model. Comptes Rendus de l'Academie des Sciences 2000, 331(Serie I):81-84. (in French).
    • (2000) Comptes Rendus de l'Academie des Sciences , vol.331 , pp. 81-84
    • Boussama, F.1
  • 5
    • 10444244932 scopus 로고    scopus 로고
    • Modelling multivariate international tourism demand and volatility
    • Chan F., Lim C., McAleer M. Modelling multivariate international tourism demand and volatility. Tourism Management 2005, 26:459-471.
    • (2005) Tourism Management , vol.26 , pp. 459-471
    • Chan, F.1    Lim, C.2    McAleer, M.3
  • 6
    • 33747595786 scopus 로고    scopus 로고
    • The robustness of modified unit root tests in the presence of GARCH
    • Cook S. The robustness of modified unit root tests in the presence of GARCH. Quantitative Finance 2006, 6:359-363.
    • (2006) Quantitative Finance , vol.6 , pp. 359-363
    • Cook, S.1
  • 7
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey D.A., Fuller W.A. Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association 1979, 74:427-431.
    • (1979) Journal of the American Statistical Association , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 8
    • 0000472488 scopus 로고
    • Likelihood ratio statistics for autoregressive time series with a unit root
    • Dickey D.A., Fuller W.A. Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica 1981, 49:1057-1072.
    • (1981) Econometrica , vol.49 , pp. 1057-1072
    • Dickey, D.A.1    Fuller, W.A.2
  • 9
    • 69449086914 scopus 로고    scopus 로고
    • Modelling and forecasting sustainable international tourism demand for the Brazilian Amazon
    • Divino J.A., McAleer M. Modelling and forecasting sustainable international tourism demand for the Brazilian Amazon. Environmental Modelling & Software 2009, 24:1411-1419.
    • (2009) Environmental Modelling & Software , vol.24 , pp. 1411-1419
    • Divino, J.A.1    McAleer, M.2
  • 11
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliott G., Rothenberg T.J., Stock J.H. Efficient tests for an autoregressive unit root. Econometrica 1996, 64:813-836.
    • (1996) Econometrica , vol.64 , pp. 813-836
    • Elliott, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 12
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
    • Engle R.F. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica 1982, 50:987-1007.
    • (1982) Econometrica , vol.50 , pp. 987-1007
    • Engle, R.F.1
  • 13
    • 55349105813 scopus 로고    scopus 로고
    • Tourism in the Canary Islands: forecasting using several seasonal time series models
    • Gil-Alana L.A., Cunado J., Gracia F.P. Tourism in the Canary Islands: forecasting using several seasonal time series models. Journal of Forecasting 2008, 27:621-636.
    • (2008) Journal of Forecasting , vol.27 , pp. 621-636
    • Gil-Alana, L.A.1    Cunado, J.2    Gracia, F.P.3
  • 14
    • 84993601065 scopus 로고
    • On the relation between the expected value and volatility of nominal excess return on stocks
    • Glosten L., Jagannathan R., Runkle D. On the relation between the expected value and volatility of nominal excess return on stocks. Journal of Finance 1992, 46:1779-1801.
    • (1992) Journal of Finance , vol.46 , pp. 1779-1801
    • Glosten, L.1    Jagannathan, R.2    Runkle, D.3
  • 15
    • 21444444878 scopus 로고    scopus 로고
    • Modelling country risk and uncertainty in small island tourism economies
    • Hoti S., McAleer M., Shareef R. Modelling country risk and uncertainty in small island tourism economies. Tourism Economics 2005, 11:159-183.
    • (2005) Tourism Economics , vol.11 , pp. 159-183
    • Hoti, S.1    McAleer, M.2    Shareef, R.3
  • 16
    • 34548216313 scopus 로고    scopus 로고
    • Modelling international tourism and country risk spillovers for Cyprus and Malta
    • Hoti S., McAleer M., Shareef R. Modelling international tourism and country risk spillovers for Cyprus and Malta. Tourism Management 2007, 28:1472-1484.
    • (2007) Tourism Management , vol.28 , pp. 1472-1484
    • Hoti, S.1    McAleer, M.2    Shareef, R.3
  • 17
    • 0032342382 scopus 로고    scopus 로고
    • Strong consistency of estimators for multivariate ARCH models
    • Jeantheau T. Strong consistency of estimators for multivariate ARCH models. Econometric Theory 1998, 14:70-86.
    • (1998) Econometric Theory , vol.14 , pp. 70-86
    • Jeantheau, T.1
  • 18
    • 84974239969 scopus 로고
    • Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator
    • Lee S.W., Hansen B.E. Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator. Econometric Theory 1994, 10:29-52.
    • (1994) Econometric Theory , vol.10 , pp. 29-52
    • Lee, S.W.1    Hansen, B.E.2
  • 19
    • 0036077158 scopus 로고    scopus 로고
    • Recent theoretical results for time series models with GARCH errors
    • (Reprinted in M. McAleer, & L. Oxley, (Eds.). (2002). Contributions to financial econometrics: Theoretical and practical issues (pp. 9-33). Oxford: Blackwell)
    • Li W.K., Ling S., McAleer M. Recent theoretical results for time series models with GARCH errors. Journal of Economic Surveys 2002, 16:245-269. (Reprinted in M. McAleer, & L. Oxley, (Eds.). (2002). Contributions to financial econometrics: Theoretical and practical issues (pp. 9-33). Oxford: Blackwell).
    • (2002) Journal of Economic Surveys , vol.16 , pp. 245-269
    • Li, W.K.1    Ling, S.2    McAleer, M.3
  • 20
    • 21744436141 scopus 로고    scopus 로고
    • On fractionally integrated autoregressive moving-average models with conditional heteroskedasticity
    • Ling S., Li W.K. On fractionally integrated autoregressive moving-average models with conditional heteroskedasticity. Journal of the American Statistical Association 1997, 92:1184-1194.
    • (1997) Journal of the American Statistical Association , vol.92 , pp. 1184-1194
    • Ling, S.1    Li, W.K.2
  • 21
    • 0001283032 scopus 로고    scopus 로고
    • Stationarity and the existence of moments of a family of GARCH processes
    • Ling S., McAleer M. Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics 2002, 106:109-117.
    • (2002) Journal of Econometrics , vol.106 , pp. 109-117
    • Ling, S.1    McAleer, M.2
  • 22
    • 0036015422 scopus 로고    scopus 로고
    • Necessary and sufficient moment conditions for the GARCH(r, s) and asymmetric power GARCH(r, s) models
    • Ling S., McAleer M. Necessary and sufficient moment conditions for the GARCH(r, s) and asymmetric power GARCH(r, s) models. Econometric Theory 2002, 18:722-729.
    • (2002) Econometric Theory , vol.18 , pp. 722-729
    • Ling, S.1    McAleer, M.2
  • 23
    • 0038042506 scopus 로고    scopus 로고
    • Asymptotic theory for a vector ARMA-GARCH model
    • Ling S., McAleer M. Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory 2003, 19:278-308.
    • (2003) Econometric Theory , vol.19 , pp. 278-308
    • Ling, S.1    McAleer, M.2
  • 24
    • 0037847450 scopus 로고    scopus 로고
    • On adaptive estimation in nonstationary ARMA models with GARCH errors
    • Ling S., McAleer M. On adaptive estimation in nonstationary ARMA models with GARCH errors. Annals of Statistics 2003, 31:642-674.
    • (2003) Annals of Statistics , vol.31 , pp. 642-674
    • Ling, S.1    McAleer, M.2
  • 25
    • 15744404150 scopus 로고    scopus 로고
    • Automated inference and learning in modeling financial volatility
    • McAleer M. Automated inference and learning in modeling financial volatility. Econometric Theory 2005, 21:232-261.
    • (2005) Econometric Theory , vol.21 , pp. 232-261
    • McAleer, M.1
  • 26
    • 77955416951 scopus 로고    scopus 로고
    • The ten commandments for optimizing value-at-risk and daily capital charges. Journal of Economic Surveys, in press.
    • McAleer, M. The ten commandments for optimizing value-at-risk and daily capital charges. Journal of Economic Surveys, in press.
    • McAleer, M.1
  • 27
  • 28
    • 34248659384 scopus 로고    scopus 로고
    • An econometric analysis of asymmetric volatility: theory and application to patents
    • McAleer M., Chan F., Marinova D. An econometric analysis of asymmetric volatility: theory and application to patents. Journal of Econometrics 2007, 139:259-284.
    • (2007) Journal of Econometrics , vol.139 , pp. 259-284
    • McAleer, M.1    Chan, F.2    Marinova, D.3
  • 29
    • 39349111718 scopus 로고    scopus 로고
    • Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model
    • McAleer M., da Veiga B. Forecasting value-at-risk with a parsimonious portfolio spillover GARCH (PS-GARCH) model. Journal of Forecasting 2008, 27:1-19.
    • (2008) Journal of Forecasting , vol.27 , pp. 1-19
    • McAleer, M.1    da Veiga, B.2
  • 30
    • 42549088686 scopus 로고    scopus 로고
    • Single-index and portfolio models for forecasting value-at-risk thresholds
    • McAleer M., da Veiga B. Single-index and portfolio models for forecasting value-at-risk thresholds. Journal of Forecasting 2008, 27:217-235.
    • (2008) Journal of Forecasting , vol.27 , pp. 217-235
    • McAleer, M.1    da Veiga, B.2
  • 31
    • 0034287159 scopus 로고    scopus 로고
    • Limit theory for the sample autocorrelations and extremes of a GARCH (1; 1) process
    • Mikosch T., Starica C. Limit theory for the sample autocorrelations and extremes of a GARCH (1; 1) process. Annals of Statistics 2000, 28:1427-1451.
    • (2000) Annals of Statistics , vol.28 , pp. 1427-1451
    • Mikosch, T.1    Starica, C.2
  • 32
    • 0000641348 scopus 로고
    • Conditional heteroscedasticity in asset returns: a new approach
    • Nelson D.B. Conditional heteroscedasticity in asset returns: a new approach. Econometrica 1991, 59:347-370.
    • (1991) Econometrica , vol.59 , pp. 347-370
    • Nelson, D.B.1
  • 33
    • 0000387132 scopus 로고    scopus 로고
    • Lag length selection and the construction of unit root tests with good size and power
    • Ng S., Perron P. Lag length selection and the construction of unit root tests with good size and power. Econometrica 2001, 69:1519-1554.
    • (2001) Econometrica , vol.69 , pp. 1519-1554
    • Ng, S.1    Perron, P.2
  • 34
    • 0001575698 scopus 로고    scopus 로고
    • Useful modifications to some unit root tests with dependent errors and their local asymptotic properties
    • Perron P., Ng S. Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. Review of Economic Studies 1996, 63:435-463.
    • (1996) Review of Economic Studies , vol.63 , pp. 435-463
    • Perron, P.1    Ng, S.2
  • 35
    • 77956888124 scopus 로고
    • Testing for a unit root in time series regression
    • Phillips P.C.B., Perron P. Testing for a unit root in time series regression. Biometrika 1988, 75:335-346.
    • (1988) Biometrika , vol.75 , pp. 335-346
    • Phillips, P.C.B.1    Perron, P.2
  • 36
    • 34548223208 scopus 로고    scopus 로고
    • Modelling international tourism demand and volatility in small island tourism economies
    • Shareef R., McAleer M. Modelling international tourism demand and volatility in small island tourism economies. International Journal of Tourism Research 2005, 7:313-333.
    • (2005) International Journal of Tourism Research , vol.7 , pp. 313-333
    • Shareef, R.1    McAleer, M.2
  • 37
    • 33748705335 scopus 로고    scopus 로고
    • Modelling the uncertainty in international tourist arrivals to the Maldives
    • Shareef R., McAleer M. Modelling the uncertainty in international tourist arrivals to the Maldives. Tourism Management 2007, 28:23-45.
    • (2007) Tourism Management , vol.28 , pp. 23-45
    • Shareef, R.1    McAleer, M.2
  • 38
    • 43449087900 scopus 로고    scopus 로고
    • Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach
    • Shareef R., McAleer M. Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach. Mathematics and Computers in Simulation 2008, 78:459-468.
    • (2008) Mathematics and Computers in Simulation , vol.78 , pp. 459-468
    • Shareef, R.1    McAleer, M.2
  • 39
    • 0001790102 scopus 로고    scopus 로고
    • Statistical aspects of ARCH and stochastic volatility
    • Chapman & Hall, London, O.E. Barndorff-Nielsen, D.R. Cox, D.V. Hinkley (Eds.)
    • Shephard N. Statistical aspects of ARCH and stochastic volatility. Statistical models in econometrics, finance and other fields 1996, 1-67. Chapman & Hall, London. O.E. Barndorff-Nielsen, D.R. Cox, D.V. Hinkley (Eds.).
    • (1996) Statistical models in econometrics, finance and other fields , pp. 1-67
    • Shephard, N.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.