Modelling dependence between tourism demand and exchange rate using the copula-based GARCH model

• Main Authors: Tang J., Sriboonchitta S., Ramos V., Wong W.-K.
• 格式: Article
• 語言: English
• 出版: 2014
• 在線閱讀: http://www.scopus.com/inward/record.url?eid=2-s2.0-84904073952&partnerID=40&md5=2e9743114d60a6d75c3859089aaf83ae; http://cmuir.cmu.ac.th/handle/6653943832/1206
• 機構: Chiang Mai University

This paper investigates dependence between tourism demand and exchange rate, using the case of China, and from a new perspective by using copula-GARCH models. The empirical results show that the volatility of exchange rate is not a determinant factor in fluctuation of China's inbound tourism de...