Volatility effects of cryptocurrencies on foreign tourism in India

References

• Aggarwal, R., & Ranganathan, P. (2016). Common pitfalls in statistical analysis: The use of correlation techniques. Perspectives in Clinical Research, 7(4), 187. https://doi.org/10.4103/2229-3485.192046
   PubMedGoogle Scholar
• Agiomirgianakis, G., Serenis, D., & Tsounis, N. (2015). Effects of exchange rate volatility on tourist flows into Iceland. Procedia Economics and Finance, 24(July), 25–34. https://doi.org/10.1016/S2212-5671(15)00608-5
   Google Scholar
• Alola, U. V., Cop, S., & Adewale Alola, A. (2019). The spillover effects of tourism receipts, political risk, real exchange rate, and trade indicators in Turkey. International Journal of Tourism Research, 21(6), 813–823. https://doi.org/10.1002/jtr.2307
   Web of Science ®Google Scholar
• Andreessen, M. (2014). Why bitcoin matters. New York Times, 21.
   Google Scholar
• Barrutia Barreto, I., Urquizo Maggia, J. A., Acevedo, S. I. (2019). Cryptocurrencies and blockchain in tourism as a strategy to reduce poverty. RETOS. Revista de Ciencias de la Administración y Economía, 9(18), 287–302.
   Web of Science ®Google Scholar
• Bauwens, L., Laurent, S., & Rombouts, J. V. K. (2006). Multivariate GARCH models: A survey. Journal of Applied Econometrics, 21(1), 79–109. https://doi.org/10.1002/jae.842
   Web of Science ®Google Scholar
• Beer, C., & Weber, B. (2015). Bitcoin-the promise and limits of private innovation in monetary and payment systems. Monetary Policy and the Economy, Q(4), 53–66.
   Google Scholar
• Bergsli, LØ, Lind, A. F., Molnár, P., & Polasik, M. (2022). Forecasting volatility of Bitcoin. Research in International Business and Finance, 59(August 2021), https://doi.org/10.1016/j.ribaf.2021.101540
   Google Scholar
• Blau, P. (2017). Exchange and power in social life. Routledge..
   Google Scholar
• Bollerslev, T. (1986). Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307–327. https://doi.org/10.1016/0304-4076(86)90063-1
   Web of Science ®Google Scholar
• Bollerslev, T. (1987). A conditionally Heteroskedastic time series model for speculative prices and rates of return. Review Literature And Arts Of The Americas, 69(3), 542–547. https://doi.org/10.2307/1925546
   Google Scholar
• Bouoiyour, J., & Selmi, R. (2015). What does bitcoin look like?. Annals OF Economics and Finance, 16(2), 449–492.
   Web of Science ®Google Scholar
• Brooks, C., & Burke, S. P. (2003). Information criteria for GARCH model selection. The European Journal of Finance, 9(6), 557–580. https://doi.org/10.1080/1351847021000029188
   Google Scholar
• Caporale, G. M., & Zekokh, T. (2019). Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. Research in International Business and Finance, 48, 143–155. https://doi.org/10.1016/j.ribaf.2018.12.009
   Web of Science ®Google Scholar
• Chen, Y., & So, L.-C. (2020). New insights from the bitcoin futures market. Modern Economy, 11(08), 1463–1475. https://doi.org/10.4236/me.2020.118104
   Google Scholar
• Chu, J., Chan, S., Nadarajah, S., & Osterrieder, J. (2017). GARCH modelling of cryptocurrencies. Journal of Risk and Financial Management, 10(4), 17.
   Web of Science ®Google Scholar
• Corbet, S., Meegan, A., Larkin, C., Lucey, B. (2018). Exploring the dynamic relationships between cryptocurrencies and other financial assets. Economics Letters, 165(C), 28–34.
   Google Scholar
• Coudert, V., Couharde, C. (2015). On the impact of volatility on the real exchange rate-terms of trade nexus: Revisiting commodity currencies. Journal of International Money and Finance, 58, 110–127.
   Web of Science ®Google Scholar
• Dickey, D. A., & Fuller, W. A. (1981). Likelihood ratio statistics for autoregressive time series with a unit. Econometrica, 49(4), 1986. https://doi.org/10.2307/1912517
   Web of Science ®Google Scholar
• Doumenis, Y., Izadi, J., Dhamdhere, P., Katsikas, E., & Koufopoulos, D. (2021). A critical analysis of volatility surprise in Bitcoin cryptocurrency and other financial assets. Risks, 9(11), 207.
   Web of Science ®Google Scholar
• Easterling, E. (2007). Volatility In Perspective. www.CrestmontResearch.com
   Google Scholar
• Engert, W., & Fung, B. S. C. (2017). Central bank digital currency: Motivations and implications (No. 2017-16). Bank of Canada Staff Discussion Paper.
   Google Scholar
• Engle, R. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. https://doi.org/10.2307/1912773
   Web of Science ®Google Scholar
• Engle, R. (2002). New frontiers for arch models. Journal of Applied Econometrics, 17(5), 425–446. https://doi.org/10.1002/jae.683
   Web of Science ®Google Scholar
• Engle, R., & Kroner, K. F. (1995). Multivariate simultaneous generalized ARCH. Econometric Theory, 11(1), 122–150. https://doi.org/10.1017/S0266466600009063
   Web of Science ®Google Scholar
• Enoksen, F. A., Landsnes, C. J., Lučivjanská, K., & Molnár, P. (2020). Understanding risk of bubbles in cryptocurrencies. Journal of Economic Behavior and Organization, 176(C), 129–144.
   Google Scholar
• Erceg, A., Damoska Sekuloska, J., & Kelić, I. (2020, February). Blockchain in the tourism industry—A review of the situation in Croatia and Macedonia. In Informatics (Vol. 7, No. 1, p. 5). MDPI.
   Google Scholar
• Fassas, A. P., Papadamou, S., & Koulis, A. (2020). Price discovery in bitcoin futures. Research in International Business and Finance, 52. https://doi.org/10.1016/j.ribaf.2019.101116
   Google Scholar
• Filimonau, V., & Naumova, E. (2020). The blockchain technology and the scope of its application in hospitality operations. International Journal of Hospitality Management, 87, 102383. https://doi.org/10.1016/j.ijhm.2019.102383
   Web of Science ®Google Scholar
• Garg, T. (January 17, 2022). 10 Travel Sites Where You Can Pay Using Cryptocurrencies. https://www.india.com/travel/articles/10-travel-sites-where-you-can-pay-using-cryptocurrencies-5190210/amp/
   Google Scholar
• Ghorbel, A., & Jeribi, A. (2021). Investigating the relationship between volatilities of cryptocurrencies and other financial assets. Decisions in Economics and Finance, 44(2), 817. https://doi.org/10.1007/s10203-020-00312-9
   Web of Science ®Google Scholar
• Glaser, F., Zimmermann, K., Haferkorn, M., Weber, M. C., & Siering, M.. (2020). Bitcoin-asset or currency? Revealing users' hidden intentions. Revealing Users' Hidden Intentions (April 15, 2014). ECIS..
   Google Scholar
• Glosten, L. R., Jagannathan, R., & Runkle, D. E. (1993). On the relation between the expected value and the volatility of the nominal excess return on stocks. The Journal of Finance, 48(5), 1779–1801. https://doi.org/10.1111/j.1540-6261.1993.tb05128.x
   Web of Science ®Google Scholar
• Hansen, P. R., & Lunde, A. (2005). A forecast comparison of volatility models: Does anything beat a GARCH(1,1)? Journal of Applied Econometrics, 20(7), 873–889. https://doi.org/10.1002/jae.800
   Web of Science ®Google Scholar
• Hospitality Net. (2021). What’s Hot – or Not – in Social Media Marketing for Hotels? retrieved October 11, 2022, from https://www.hospitalitynet.org/opinion/4117039.html
   Google Scholar
• Hoti, S., Chan, F., & Mcaleer, M. (2002). Structure and Asymptotic Theory for Multivariate Asymmetric Volatility: Empirical Evidence for Country Risk Ratings. RePEc. http://www.e.u-tokyo.ac.jp/cirje/research/03research02dp.html
   Google Scholar
• Jarque, C. M., & Bera, A. K. (1987). A test for normality of observations and regression residuals. International Statistical Review / Revue Internationale de Statistique, 55(2), 163. https://doi.org/10.2307/1403192
   Web of Science ®Google Scholar
• Javed, F., & Mantalos, P. (2013). GARCH-type models and performance of information criteria. Communications in Statistics-Simulation and Computation, 42(8), 1917–1933. https://doi.org/10.1080/03610918.2012.683924
   Web of Science ®Google Scholar
• Jones, E. (2009). Italy and the Euro in the global economic crisis. The International Spectator, 44(4), 93–103.
   Google Scholar
• Jun, J., Cho, I., & Park, H. (2018). Factors influencing continued use of mobile easy payment service: An empirical investigation. Total Quality Management & Business Excellence, 29(9–10), 1043–1057. https://doi.org/10.1080/14783363.2018.1486550
   Web of Science ®Google Scholar
• Katsiampa, P., Corbet, S., & Lucey, B. (2019). Volatility spillover effects in leading cryptocurrencies: A BEKK-MGARCH analysis. Finance Research Letters, 68–74. https://doi.org/10.1016/j.frl.2019.03.009
   Google Scholar
• Kim, J. J., Radic, A., Chua, B. L., Koo, B., & Han, H. (2022). Digital currency and payment innovation in the hospitality and tourism industry. International Journal of Hospitality Management, 107, 103314. https://doi.org/10.1016/j.ijhm.2022.103314
   Web of Science ®Google Scholar
• Kim, J. M., Jun, C., & Lee, J. (2021). Forecasting the volatility of the cryptocurrency market by garch and stochastic volatility. Mathematics, 9(14), 1–16. https://doi.org/10.3390/math9141614
   Web of Science ®Google Scholar
• Kim, S. (2014). Does a money-is-all attitude cause alienation? A cross-cultural comparison of Korea, the US and Sweden. International Journal of Consumer Studies, 38(6), 650–659. https://doi.org/10.1111/ijcs.12137
   Web of Science ®Google Scholar
• Knapp, G. F. (1924). The state theory of money. McMaster University Archive for the History of Economic Thought.
   Google Scholar
• Köchling, G., Schmidtke, P., & Posch, P. N. (2020). Volatility forecasting accuracy for Bitcoin. Economics Letters, 191. https://doi.org/10.1016/j.econlet.2019.108836
   Google Scholar
• Kristoufek, L. (2013). BitCoin meets google trends and wikipedia: Quantifying the relationship between phenomena of the Internet era. Scientific Reports, 3(1), 3415.
   PubMedGoogle Scholar
• Lee, H., & Yoder, J. (2007). Optimal hedging with a regime-switching time-varying correlation GARCH model. Journal of Futures Markets, 27(5), 495–516. https://doi.org/10.1002/fut.20256
   Web of Science ®Google Scholar
• Ling, S., & Mcaleer, M. (2001). Asymptotic theory for a VECTOR ARMA-GARCH model. Econometric Theory, 19(2), 280–310. http://hdl.handle.net/10419/92700www.econstor.eu
   Web of Science ®Google Scholar
• Marin, D. (1992). Is the export-led growth hypothesis valid for industrialized countries?. Review of Economics and Statistics, 74(4), 678–688.
   Web of Science ®Google Scholar
• McCallum, B. T. (2015). THE BITCOIN REVOLUTION. Cato Journal, 35(2), 347. https://www.proquest.com/openview/5c2d8ce726a7fdd5fe0031ec91e497e0/1?pq-origsite=gscholar&cbl=37750
   Google Scholar
• Nakamoto, S. (2008). Bitcoin: A peer-to-peer electronic cash system. Decentralized Business Review, 21260. Retrieved November 22, 2022, from https://assets.pubpub.org/d8wct41f/31611263538139.pdf
   Google Scholar
• Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica, 59(2), 347–370. https://doi.org/10.2307/2938260
   Web of Science ®Google Scholar
• Oturakci, M., & Yuregir, O. H. (2018). New approach to rogers’ innovation characteristics and comparative implementation study. Journal of Engineering and Technology Management, 47, 53–67. https://doi.org/10.1016/j.jengtecman.2017.12.004
   Web of Science ®Google Scholar
• Park, J., & Ryu, S. (2015). Is bitcoin an alternative currency?: A critical appraisal. Rev. Int. Money Financ, 5(1), 17–36. https://doi.org/10.34251/ifadoi.5.1.201505.002
   Google Scholar
• Phillips, P. C. B., & Perron, P. (1988). Biometrika trust testing for a unit root in time series regression testing for a unit root in time series regression. Biometrika, 75(2), 335–381. https://doi.org/10.1093/biomet/75.2.335
   Web of Science ®Google Scholar
• Radic, A., Quan, W., Ariza-Montes, A., Lee, J. S., & Han, H. (2022). You can't hold the tide with a broom: Cryptocurrency payments and tourism in South Korea and China. Tourism Management Perspectives, 43, 101000.
   Web of Science ®Google Scholar
• Rastogi, S., & Kanoujiya, J. (2022). The volatility spillover effect of macroeconomic indicators and strategic commodities on inflation: Evidence from India. South Asian Journal of Business Studies. https://doi.org/10.1108/SAJBS-10-2021-0387
   Google Scholar
• Rogers, A. R. (1995). For love or money: The evolution of reproductive and material motivations. Human Reproductive Decisions: Biological and Social Perspectives, 76–95. https://doi.org/10.1007/978-1-349-23947-4_5
   Google Scholar
• Sahoo, M. (2017). Financial conditions index (FCI), inflation and growth: Some evidence. Theoretical and Applied Economics, 3(612), 147–172.
   Google Scholar
• Sardar, N., & Sharma, S. (2022). Oil prices & stock returns: Modeling the asymmetric effects around the zero lower bound. Energy Economics, 107. https://doi.org/10.1016/j.eneco.2022.105814
   Google Scholar
• Scharpf, F. W. (2013, November). The costs of non-disintegration: the case of the European Monetary Union. In Zur Konzeptionalisierung europäischer Desintegration (pp. 163–185). Nomos Verlagsgesellschaft mbH and Co. KG.
   Google Scholar
• Siddiqui, T. A., & Khan, M. F. (2018). Analyzing spillovers in international stock markets: a multivariate GARCH approach. IMJ, 10(1), 57–63. https://www.iimidr.ac.in/wp-content/uploads/Vol10-1-05.pdf
   Google Scholar
• Treiblmaier, H., Leung, D., Kwok, A. O. J., & Tham, A. (2021). Cryptocurrency adoption in travel and tourism–an exploratory study of Asia Pacific travellers. Current Issues in Tourism, 24(22), 3165–3181. https://doi.org/10.1080/13683500.2020.1863928
   Web of Science ®Google Scholar
• Trucíos, C. (2019). Forecasting bitcoin risk measures: A robust approach. International Journal of Forecasting, 35(3), 836–847. https://doi.org/10.1016/j.ijforecast.2019.01.003
   Web of Science ®Google Scholar
• Trucíos, C., Hotta, L. K., & Ruiz, E. (2017). Robust bootstrap forecast densities for GARCH returns and volatilities. Journal of Statistical Computation and Simulation, 87(16), 3152–3174. https://doi.org/10.1080/00949655.2017.1359601
   Web of Science ®Google Scholar
• UNWTO. (2022). UNWTO Report 2022. Retrieved October 12, 2022, from https://www.unwto.org/news/international-tourism-back-to-60-of-pre-pandemic-levels-in-january-july-2022
   Google Scholar
• Vaidhyanathan, J., & Jain, A.. (2022, September 5). What is cryptocurrency and how does it work?. Forbes Advisor. Retrieved September 22, 2022, from https://www.forbes.com/advisor/in/investing/what-is-cryptocurrency-and-howdoes-it-work/
   Google Scholar
• Wang, L., Yang, J. (2015). Electronic commerce international logistics performance influence factor analysis. International Journal of Mobile Communications, 13(5), 498–509.
   Web of Science ®Google Scholar
• WTTC. (2022). Travel & Tourism could grow to $8.6 trillion in 2022, says WTTC. Retrieved October 21, 2022, from https://wttc.org/News-Article/Travel-and-Tourism-could-grow-to-8-point-6-trillion-USD-in-2022-sayWTTC
   Google Scholar
• Yermack, D. (2015). Is Bitcoin a real currency? An economic appraisal. In Handbook of digital currency (pp. 31–43). Academic Press.
   Google Scholar
• Zakoian, J. M. (1994). Threshold heteroskedastic models. Journal of Economic Dynamics and Control, 18(5), 931–955. https://doi.org/10.1016/0165-1889(94)90039-6
   Web of Science ®Google Scholar
• Zolkepli, I. A., & Kamarulzaman, Y. (2015). Social media adoption. Computers in Human Behavior, 43(C), 189–209. https://doi.org/10.1016/j.chb.2014.10.050
   Google Scholar