References
- Bollerslev, T. (1986). Generalised autoregressive conditional heteroscedasticity.” Journal of Econometrics, 31, 307–327.
- Bollerslev, T., Chou, R.Y. & Kroner, K.F. (1992). ARCH modeling in finance - A review of the theory and empirical evidence. Journal of Econometrics, 52, 5–59.
- Bollerslev, T., & Wooldridge, J. (1992). Quasi maximum likelihood estimation and inference in dynamic models with time varying variances. Econometric Reviews, 11, 143–172.
- Boussama, F. (2000). Asymptotic normality for the quasi-maximum likelihood estimator of a GARCH model. Comptes Rendus de l’Academie des Sciences, Serie I, 331, 81–84 (in French).
- Chan, F., Lim, C., & McAleer, M. (2005). Modeling multivariate international tourism demand and volatility. Tourism Management, 26, 459–471.
- Dickey, D.A., and W.A. Fuller. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431.
- Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49, 1057–1072.
- Elie, L., & Jeantheau, T. (1995). Consistency in heteroskedastic models. Comptes Rendus de l’Académie des Sciences, Série I, 320, 1255–1258 (in French).
- Elliott, G., Rothenberg, T.J., & Stock, J.H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64, 813–836.
- Engle, R.F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50, 987–1007.
- Glosten, L., Jagannathan, R., & Runkle, D. (1992). On the relation between the expected value and volatility of nominal excess return on stocks. Journal of Finance, 46, 1779–1801.
- Jeantheau, T. (1998). Strong consistency of estimators for multivariate ARCH models. Econometric Theory, 14, 70–86.
- Lee, S.W., & Hansen, B.E. (1994). Asymptotic theory for the GARCH(1,1) quasi-maximum likelihood estimator. Econometric Theory, 10, 29–52.
- Li, W.K., Ling, S., & McAleer, M. (2002). Recent theoretical results for time series models with GARCH errors. Journal of Economic Surveys, 16, 245–269. Reprinted in Contributions to Financial Econometrics: Theoretical and Practical Issues, Blackwell, edited by McAleer, M., & L. Oxley, Oxford, 2002, Pp. 9–33.
- Lim, C., & McAleer, M. (2001). Monthly seasonal variations in Asian tourism to Australia. Annals of Tourism Research, 28, 68–82.
- Lim, C., Min, J.C.H., & McAleer, M. (2007). ARMAX modeling of international tourism demand, in L. Oxley & D. Kulasiri (eds.), MODSIM 2007 International Congress on Modeling and Simulation, MSSANZ, Christchurch, New Zealand, pp. 1885–1891.
- Lim C., Min, J.C.H., & McAleer. M. (2008). Modeling income effects on long and short haul international travel from Japan. Tourism Management, 29, 1099–1109.
- Ling, S., & Li, W.K. (1997). On fractionally integrated autoregressive moving-average models with conditional heteroskedasticity. Journal of the American Statistical Association, 92, 1184–1194.
- Ling, S., & McAleer, M. (2002a). Stationarity and the existence of moments of a family of GARCH processes. Journal of Econometrics, 106, 109–117.
- Ling, S., & McAleer, M. (2002b). Necessary and sufficient moment conditions for the GARCH(r,s) and asymmetric power GARCH(r,s) models. Econometric Theory, 18, 722–729.
- Ling, S., & McAleer, M. (2003a). Asymptotic theory for a vector ARMA-GARCH model. Econometric Theory, 19, 278–308.
- Ling, S., & McAleer, M. (2003b). On adaptive estimation in nonstationary ARMA models with GARCH errors. Annals of Statistics, 31, 642–674.
- McAleer, M. (2005). Automated inference and learning in modeling financial volatility. Econometric Theory, 21, 232–261.
- McAleer, M. (2009). The Ten Commandments for optimizing value-at-risk. Journal of Economic Surveys, 23, 831–849.
- McAleer, M., Chan, F., & Marinova, D. (2007). An econometric analysis of asymmetric volatility: Theory and application to patents. Journal of Econometrics, 139, 259–284.
- Nelson, D.B. (1991). Conditional heteroscedasticity in asset returns: a new approach. Econometrica, 59, 347–370.
- New Zealand Department of Statistics (1997–2007), Monthly Tourist Arrivals, Wellington, NZ.
- Ng, S., & Perron, P. (2001). Lag length selection and the construction of unit root tests with good size and power. Econometrica, 69, 1519–1554.
- Perron, P., & Ng, S. (1996). Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. Review of Economic Studies, 63, 435–463.
- Phillips, P.C.B., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75, 335–346.
- Shareef, R., & McAleer, M. (2007). Modelling the uncertainty in monthly international tourist arrivals to the Maldives. Tourism Management, 28, 23–45.
- Shareef, R., & McAleer, M. (2008). Modelling international tourism demand and uncertainty in Maldives and Seychelles: A portfolio approach. Mathematics and Computers in Simulation, 78, 459–468.
- Shephard, N. (1996). Statistical aspects of ARCH and stochastic volatility, in Barndorff-Nielsen, Statistical Models in Econometrics, Finance and Other Fields, editied by O.E., D.R. Cox, and D.V. Hinkley. Chapman and Hall, London, Pp 1–67.
- Taiwan Tourism Bureau (1997–2007), Monthly Report on Tourism, Tourism Bureau, Taipei.
- Taiwan Tourism Bureau (2006), 2005 Survey Report on Visitors Expenditure and Trends in Taiwan, Tourism Bureau, Taipei.
- Tourism New Zealand (2006), Japan, http://www.tourisrnnewzealand.com/tourism_info/market-research/market-guides, October 25, 2006.
- World Tourism Organization (2006), Tourism Highlights 2005 Edition, World Tourism Organization, Madrid.