Modelling Air Passenger Arrivals in the Balearic and Canary Islands, Spain

2009 ◽  
Vol 15 (3) ◽  
pp. 481-500 ◽  
Author(s):  
Ana Bartolomé ◽  
Michael McAleer ◽  
Vicente Ramos ◽  
Javier Rey-Maquieira
Keyword(s):  
Canary Islands ◽  
Seasonal Pattern ◽  
Climatic Conditions ◽  
Conditional Volatility ◽  
Asymmetric Effects ◽  
Long Run ◽  
Volatility Models

This paper models daily air passenger arrivals and their volatility for the Balearic and Canary Islands, Spain. Due to climatic conditions, tourism seasonality is clear in the Balearics, with an increasing number of arrivals during the winter months. In the Canary Islands, the seasonal pattern is different, with decreasing numbers in recent years. Three univariate conditional volatility models are estimated for both the Balearics and the Canaries, concentrating on empirical issues relating to short- and long-run persistence, as well as the symmetric and asymmetric effects of positive and negative shocks of equal magnitude on volatility.

scholarly journals LET’S GET LADE: ROBUST ESTIMATION OF SEMIPARAMETRIC MULTIPLICATIVE VOLATILITY MODELS

2014 ◽  
Vol 31 (4) ◽  
pp. 671-702 ◽  
Author(s):  
Bonsoo Koo ◽  
Oliver Linton
Keyword(s):  
Robust Estimation ◽  
Asymptotic Theory ◽  
Estimation Methods ◽  
Conditional Volatility ◽  
Long Run ◽  
Volatility Models ◽  
Short Run ◽  
Heavy Tailed ◽  
Volatility Function ◽  
Theoretical Results

We investigate a model in which we connect slowly time varying unconditional long-run volatility with short-run conditional volatility whose representation is given as a semi-strong GARCH(1,1) process with heavy tailed errors. We focus on robust estimation of both long-run and short-run volatilities. Our estimation is semiparametric since the long-run volatility is totally unspecified whereas the short-run conditional volatility is a parametric semi-strong GARCH(1,1) process. We propose different robust estimation methods for nonstationary and strictly stationary GARCH parameters with nonparametric long-run volatility function. Our estimation is based on a two-step LAD procedure. We establish the relevant asymptotic theory of the proposed estimators. Numerical results lend support to our theoretical results.

Intrinsic Liquidity in Conditional Volatility Models

2016 ◽  
pp. 225
Author(s):  
Serge Darolles ◽  
Gaëlle Le Fol ◽  
Christian Francq ◽  
Jean-Michel Zakoïan
Keyword(s):  
Conditional Volatility ◽  
Volatility Models

scholarly journals Are the Responses of Sectoral Energy Imports Asymmetric to Exchange Rate Volatilities in Pakistan? Evidence From Recent Foreign Exchange Regime

2021 ◽  
Vol 9 ◽  
Author(s):  
Abdul Saqib ◽  
Tze-Haw Chan ◽  
Alexey Mikhaylov ◽  
Hooi Hooi Lean
Keyword(s):  
Exchange Rate ◽  
Crude Oil ◽  
Foreign Exchange ◽  
Exchange Rate Volatility ◽  
Asymmetric Effects ◽  
Unit Root Testing ◽  
Long Run ◽  
Short Run ◽  
Bound Test

Growing energy demand but stagnant production followed by volatile exchange rate leads Pakistan to energy imbalances and potential economic contraction. Yet, studies on sectoral energy imports are limited and inconclusive without accessing the asymmetric effect of currency fluctuations. We examine the impacts of Pakistani rupee volatility on monthly energy imports based on the nonlinear autoregressive distributed lag (NARDL) estimations. Augmented Dickey–Fuller and Phillips–Perron tests were used to conduct unit root testing, and the bound testing approach was used to examine the long-term cointegration. The long-run asymmetry was tested with the Wald test, and using the NARDL model, we examined both short-run and long-run asymmetric effects of exchange rate volatility on energy imports. The bound test was established and supported through ECMt−1 (t-test), cointegrating the relationship between exchange rate volatility and energy imports in a long term. Among others, both short-run and long-run asymmetric effects were found for crude oil, coal, electricity, and petroleum products. Rupee depreciation increased crude oil and electricity imports, while the appreciation effects were insignificant. Overall, the empirical assessment reveals that the foreign exchange volatility effect is sectoral specific and asymmetric in Pakistan. It offers new insights into re-strategizing the energy policy and refining the import substitution plan.

scholarly journals Asymmetric Effects of Exchange Rate on Monetary Policy in Emerging Countries: A Non-Linear ARDL Approach in Uganda

2020 ◽  
Vol 7 (5) ◽  
pp. 24
Author(s):  
Allan Kayongo ◽  
Asumani Guloba ◽  
Joseph Muvawala
Keyword(s):  
Exchange Rate ◽  
Money Demand ◽  
Economic Uncertainty ◽  
Ardl Model ◽  
Real Money ◽  
Asymmetric Effects ◽  
Long Run ◽  
Non Linear ◽  
Short Run ◽  
Exchange Rate Depreciation

Many money demand studies have been carried out on Uganda, however, these studies perceive and incorporate exchange rate as a linear determinant of real money demand. Indeed, exchange rate may have asymmetric effects on real money demand; with exchange rate appreciation having different effects from exchange rate depreciation. Therefore, this is the first study to estimate exchange rate asymmetries in Uganda, for the period 2008Q3 and 2018Q4. The study uses both the linear ARDL and non-linear ARDL methodologies to accomplish its goal. This is also done by incorporating an economic uncertainty index, which is critical, especially in light of the novel global coronavirus pandemic, that has disrupted trade, movement and supply chains. The error correction terms of both models are negative and significant, with the one of the non-linear ARDL twice as much as that of the linear ARDL. Indeed, the study confirms the existence of exchange rate asymmetries on Uganda’s real money demand. In the linear ARDL model, exchange rate has a positive effect in the long run but a negative result in the short run. On one hand, the non-linear ARDL model reveals that an exchange rate depreciation of the Uganda Shillings negatively affects real money demand in the short run. On the other hand, an exchange rate appreciation positively effects real money demand. Notably, economic uncertainty has insignificant effects in both models, except for its lags in the non-linear model. The implication of these findings is that macro-economic policy management in Uganda should be cognizant of these asymmetric effects of exchange rate, for effective planning, policy and implementation.

scholarly journals Effect Of Agrotechnical Measures And Varieties On Seasonal Dynamics Of Tetranychus Urticae Koch (Acari, Trombidiformes, Tetranychidae) On High Tunnel-Cultivated Garden Strawberries

2015 ◽  
Vol 69 (1-2) ◽  
pp. 45-49
Author(s):  
Ineta Salmane
Keyword(s):  
Tetranychus Urticae ◽  
Air Temperature ◽  
Spider Mite ◽  
Seasonal Pattern ◽  
Plant Cover ◽  
Climatic Conditions ◽  
Early Season ◽  
High Tunnel ◽  
Negative Effect ◽  
Two Spotted Spider Mite

Abstract The aim of the present study was to determine the seasonal pattern of two-spotted spider mite Tetranychus urticae on strawberries cultivated in polythene-covered high tunnels in temperate climatic conditions. Various cultivars were used and the effect of modification of plant covering indices on abundance and incidence of these mites was also tested. The number of two-spotted spider mites was relatively low at the beginning of the vegetation season and started to increase when average air temperature rose above 20 to 25 °C. In the experiment two types of tunnels differing in additional plant cover were used. The maximum mite abundance did not significantly vary between varieties in tunnel 1 conditions, but it was significantly lower for variety 'Sonata' in tunnel 2 conditions. Mite numbers significantly declined after strawberry foliage mowing and removal of polythene cover. Mite development was prolonged in tunnel 1, where additional cover of plants was used and higher early season air temperature was recorded in comparison to tunnel 2. It was concluded that increase in early season temperature can increase two-spotted spider mite abundance and have a more negative effect on strawberry plants in respect of foliage damage by mites.

Asymmetric Exchange Rate Effects on Cross-Border Freight Flows between the United States and Canada

2020 ◽  
Vol 2674 (4) ◽  
pp. 348-361
Author(s):  
Junwook Chi
Keyword(s):  
Exchange Rate ◽  
Linear Models ◽  
Bilateral Trade ◽  
Nonlinear Models ◽  
Exchange Rate Volatility ◽  
The United States ◽  
Trade Flows ◽  
Asymmetric Effects ◽  
Cross Border ◽  
Long Run

This paper investigates possible asymmetric influences of the exchange rate on cross-border freight flows between the U.S.A. and Canada. Linear and nonlinear autoregressive distributed lag models are used to test for the existence of long-run asymmetric effects of 1) currency appreciation and depreciation and 2) exchange rate volatility changes on trade flows by truck, rail, air, vessel, and pipeline. This paper provides evidence that both currency value and exchange rate volatility affect the U.S.–Canada freight flows in an asymmetric manner. The long-run results of the nonlinear models show that exchange rate is found to be significantly associated with the bilateral trade flows between the U.S.A. and Canada. Exchange rate volatility tends to be significantly associated with trade flows in the nonlinear models, while its effects are insignificant in most cases in the linear models. These findings suggest that the conventional linear specification may mislead the asymmetric effects of exchange rate uncertainty on cross-border freight flows. It is also found that exchange rate sensitivities of U.S.–Canada trade flows by transport mode can differ significantly from those of aggregate trade flows. The information derived from disaggregate trade data can be useful for traders and shippers to develop a long-term strategic plan for infrastructure investment and service expansion.

scholarly journals Do Exchange Rate Changes Have Asymmetric or Symmetric Effects on the Demand for Money in the Gambia

2019 ◽  
Vol 9 (4) ◽  
pp. 276
Author(s):  
Kebba Bah ◽  
Karamat Khan ◽  
Artif Taufiq Nurrachman Aziez ◽  
Ali Kishwar
Keyword(s):  
Exchange Rate ◽  
The Gambia ◽  
Demand For Money ◽  
Asymmetric Effects ◽  
On Demand ◽  
Nonlinear Ardl ◽  
Long Run ◽  
Short Run ◽  
Exchange Rate Changes ◽  
The Relationship

In trying to explain the relationship between exchange rate and demand for money researchers have applied different models. In this paper, we applied both the linear and nonlinear ARDL to check the effects of exchange rate changes on the demand for money (M1 and M2) in The Gambia. The result revealed that the demand for money is cointegrated with its determinants and have a stable short-run relationship. It also revealed that exchange rate changes have only short-run asymmetric effects on demand for money (M1 or M2) but don’t have long-run effects.

scholarly journals Modeling and Analyzing the Mean and Volatility Relationship between Electricity Price Returns and Fuel Market Returns

2016 ◽  
Vol 8 (7) ◽  
pp. 55 ◽  
Author(s):  
Ching-Chun Wei
Keyword(s):  
Statistical Significance ◽  
Dynamic Structure ◽  
Energy Markets ◽  
Market Returns ◽  
Fuel Price ◽  
Asymmetric Effects ◽  
Market Effects ◽  
Volatility Spillovers ◽  
Long Run ◽  
The Mean

<p>This paper has two objectives. First, we apply the symmetric and asymmetric VAR(1)-BEKK-MGARCH(1.1), VAR(1)-CCC-MGARCH(1,1), VAR(1)-DCC-MGARCH, VAR(1)-VARMA-CCC-MGARCH and VAR(1)- VARMA-DCC-MGARCH models to explore the return and volatility interactions among electricity and other fuel price markets(oil, natural gas, and coal). Second, this paper investigates the importance of not only volatility spillover among energy markets, but also the asymmetric effects of negative and positive shockson the conditional variance of modeling one energy market’s volatility upon the returns of future prices within and across other energy markets. The empirical results display that these models do capture the dynamic structure of the return interactions and volatility spillovers and exhibit statistical significance for own past mean and volatility short-and long-run persistence effects, while there are just a few cross-market effects for each model.</p>

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