Analysis of volatility and dependence between the tourist arrivals from China to Thailand and Singapore: A copula-based GARCH approach

• المؤلفون الرئيسيون: Jianxu Liu, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science; Engineering
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84872768724&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/52455

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...