Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach
This paper aims to estimate the dependency between the growth rates of tourist arrivals of Thailand and Singapore from China, and also analyze their conditional volatilities. Firstly, we assume that both margins are skewed-t distribution, and then make use of ARMA-GARCH model to fit monthly time ser...
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| Main Authors: | , |
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| Format: | Conference or Workshop Item |
| Language: | English |
| Published: |
2014
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| Online Access: | http://www.scopus.com/inward/record.url?eid=2-s2.0-84872768724&partnerID=40&md5=56a3221860231debb6232555b339a051 http://cmuir.cmu.ac.th/handle/6653943832/1227 |
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| Institution: | Chiang Mai University |
| Language: | English |