Journal of Tourism Sciences 2021 KCI Impact Factor : 2.61
The Determinants of Volatility on In-Bound Tourism Demand in Korea Using Multivariate Autoregressive Conditional Heteroskedasticity Model
ABSTRACT
열림/닫힘 버튼KEYWORDS
열림/닫힘 버튼227 Viewed
0 Downloaded
KCI Citation Counts (9)
열림/닫힘 버튼[journal]
모수원
/ 2004
/
The Effects of Exchange Rates and Business Indicators on the Korean Tourism Demand in Leading Drstination Countries
/ 관광학연구
/ 한국관광학회
28(2)
: 9~23
[journal] 모수원 / 2001 / 한국인 해외관광객의 추정과 예측 / 관광학연구 25(1) : 117~134
[journal] 모수원 / 2004 / 일본인의 한국관광수요 변동성 / 국제무역연구 10(1) : 111~126
[journal] 유광훈 / 1995 / 방한외래관광객 예측 : 지수평활법의 적용을 중심으로 / 관광학연구 19(1) : 247~259
[journal] 최영문 / 1998 / 단변량 시계열 관광수요 예측모형의 적정성 비교평가 : 내국인 해외관광객수 실측치의 비교 / 관광학연구 21(2) : 111~128
[report] 한국관광연구원 / 2000 / 한국관광동향 / 한국관광연구원
[journal] Bera, A. K. / 2002 / Testing constancy of correlation and other specifications of the BGARCH model with an application to international equity returns / Journal of Empirical Finance 9 : 171~195
[journal] Bollerslev, T. / 1986 / Generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 31 : 307~327
[journal] Bollerslev, T. / 1990 / Modeling the coherence in short-run nominal exchange rates : a multivariate generalized ARCH models / Review of Economics and Statistics 52 : 5~59
[journal] Bollerslev, T. / 1992 / Quasi-maximum likelihood estimation and inference in dynamic models with time varying covariance / Econometric Reviews 11 : 143~172
[journal] Chan, F. / 2005 / Modelling multivariate international tourism demand and volatility / Tourism Management 26 : 459~471
[journal] Dritsakis, N. / 2004 / Cointegration analysis of German and British tourism demand for Greece / Tourism Management 25 : 111~119
[journal] Engle, R. / 1982 / Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation / Econometrica 50 : 987~1007
[journal] Engle, R. / 2002 / Dynamic conditional correlation : a simple class of multivariate generalized autoregressive conditional heteroskedasticity models / Journal of Business and Economic Statistics 20 : 339~350
[report] Engle, R. / 2001 / Theoretical and empirical properties of dynamic conditional correlation multivariate GARCH / University of California
[journal] Glosten, L. / 1993 / On the relation between expected value and the volatility of the nomial excess return on stocks / Journal of Finance 48 : 1779~1801
[journal] Kim, S. / 1998 / Analysis of tourism demand in South Korea : a cointegration and error correction approach / Tourism Analysis 3 : 25~41
[journal] Lim, C. / 2001 / Cointegration analysis of quarterly tourism demand by Hong Kong and Singapore for Australia / Applied Economics 33 : 1599~1619
[journal] Oh, C. / 2005 / The contribution of tourism development to economic growth in the Korea economy / Tourism Management 26 : 39~44
[report] Park, S. Y. / 2006 / The determinants of international tourism demand: quantile autoregression approach / University of Illinois
[report] Park, S. Y. / 2006 / The determinants of volatility on international tourism demand: an empirical note / University of Illinois
[journal] Shareef, R. / 2005 / Modelling international tourism demand and volatility in small island tourism economies / International Journal of Tourism Research 7 : 313~333
[journal] Song, H. / 2000 / An empirical study of outbound tourism demand in the U. K / Applied Economics 32 : 611~624
[journal] Song, H. / 2003 / Tourism forecasting : the general-to-specific approach / Journal of Travel Research 42 : 65~74
[journal] Song, H. / 2006 / Forecasting international tourist flows to Macau / Tourism Management 27 : 214~224
[journal] Tse, Y. K. / 2000 / A test of constant correlations in a multivariate GARCH model / Journal of Econometrics 98 : 107~127
[journal] Voget, M. G. / 1998 / Determinants of the demand for Thailand’s exports of tourism / Applied Economics 30 : 711~715