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Value-at-Risk (VaR), daily capital charges, exogenous and endogenous violations, violation penalties, optimizing strategy, risk forecasts, aggressive or conservative risk management strategies, Basel II Accord, financial crisis

Volatility spillovers, multivariate GARCH, conditional correlations, crude oil spot prices, spot returns, forward returns, futures returns

risk management, violations, aggressive risk strategy, conservative risk strategy, value-at-risk forecasts

Financial portfolios, daily capital charges, frequency of violations, magnitude of violations, optimizing strategy, risk forecasts, value-at-risk, green zone, red zone

Optimal risk management, average daily capital requirements, alternative risk strategies, value-at-risk forecasts, combining risk models

Multivariate GARCH, Asymmetries, Volatility spillovers, Crude oil futures returns, Oil company stock returns

Multivariate GARCH, shocks, volatility, transmission, portfolio weights

Daily capital charges; excessive risk taking; market risk; risk management; value-at-risk; violations

Conditional correlations, conditional covariances, diagonal models, forecasting, generalized models, Hadamard models, scalar models, targeting

conditional correlations, crude oil spot prices, forward prices, futures prices, risk diversification

Multivariate, shocks, volatility, correlation, dependency, interdependency, precious metals, exchange rates, hedging

Median strategy, Value-at-Risk (VaR), daily capital charges, violation penalties, optimizing strategy, aggressive risk management, conservative risk management, Basel II Accord, VIX futures, global financial crisis (GFC)

Country risk ratings, debt default, value-at-risk, risk bounds, risk management

Volatility, Global fertilizer price, Crude oil price, Non-renewable fertilizers, Structural breakpoint unit root test

Value-at-Risk (VaR), daily capital charges, robust forecasts, violation penalties, optimizing strategy, aggressive risk management strategy, conservative risk management strategy, Basel II Accord, global financial crisis.

Avian Flu, International Tourist Demand, Dynamic Panel Data Model, Fixed Effects

Value‐at‐risk, GARCH, Risk management, Forecasting, Simulations, Backtesting, Basel accord penalties

Value-at-Risk (VaR), GARCH, risk management, violations, forecasting, simulations, backtesting, Basel Accord penalties

Multivariate GARCH, conditional correlations, crude oil prices, optimal hedge ratio, optimal portfolio weights, hedging strategies

SARS, Avian Flu, International Tourism, Static Fixed Effects Model, Dynamic Panel Data Model

Continuous Time, High Frequency Data, Stochastic Volatility, S&P 500, Implied Volatility, VIX

VaR, Portfolio GARCH, Basel II

Median Strategy, Value-at-Risk (VaR), Daily Capital Charges, Robust Forecasts, Violation Penalties, Optimizing Strategy, Aggressive Risk Management, Conservative Risk Management, Basel II Accord, Global Financial Crisis (GFC)

international tourism, economic development, tourism specialization, threshold variable, panel data

Presidential election cycle, spectral analysis, EGARCH intervention model, stock prices and returns

Constant conditional correlations, Dynamic conditional correlations, Multivariate

multivariate asymmetry, conditional variance, stationarity conditions, asymptotic theory, multivariate news impact curve

stochastic dominance, risk averter, risk seeker, futures market, spot market

asymmetry, conditional volatility, EGARCH, GARCH, GJR, heterogeneous autoregressive model, international tourism, international tourist arrivals, leverage, long memory

Causality, market liquidity, depth, energy, grains

Brazilian Amazon, International Tourism Demand, Time Series Modelling, Conditional Volatility Models, Forecasting

financial econometrics, volatility forecasting, neural networks, nonlinear models, realized volatility, bagging.

Tourist arrivals, risk, conditional volatility, asymmetric effect, leverage

Ten Commandments, managing investments, investment rules, risk management, financial advisers, portfolio diversification

Global Whale Watching, Whaling, Delay-Difference Equation Model

Macro-economic forecasts, econometric models, intuition, initial forecast, primary forecast, revised forecast, actual value, progressive forecast updates, forecast errors.

Long memory, agricultural commodity futures, fractional integration, asymmetric, conditional volatility

Multivariate GARCH, volatility spillovers, conditional correlations, crude oil prices, spot, forward and futures prices , stock indices

Hog prices, joining the WTO, conditional volatility models, asymmetry, leverage, moment conditions

Research Assessment Measures, Impact Factors, Immediacy, Eigenfactor Score, Article Influence, H-Index, C3PO, Zinfluence, PI-BETA

Dynamic conditional correlations, Wishart distribution, asymmetry, GJR, exponential GARCH, BEKK, heavy tails

Small Island Tourism Economies (SITEs), International tourist arrivals, Tourism tax, Volatility, Risk, Value-at-Risk (VaR), Sustainable Tourism-@-Risk (ST@R)

Asymptotic theory, Conditional correlations, Conditional covariances, Diagonal models, Scalar models, Targeting

Conditional Correlations, Conditional Covariances, Diagonal Models, Forecasting, Generalized Models, Hadamard Models, Scalar models, Targeting

Asymmetry, leverage, realized volatility, integrated volatility, measurement errors, forecasts

Combined forecasts, efficient estimation, generated regressors, replicable forecasts, non-replicable forecasts, expert’s intuition

Daily International Tourim, Conditional Mean Models, Conditional Volatility Models

Volatility, taxonomy, GARCH, stochastic volatility, realized volatility

realized volatility, diffusion, financial econometrics, measurement errors, forecasting, model evaluation, goodness-of-fit

Stochastic dominance, risk averter, oil futures market, market efficiency

tourism demand, ASEAN, multivariate GARCH, volatility spillovers, interdependence, economic development

Stochastic volatility, leverage, size effects, asymmetry, GJR, EGARCH, efficient importance sampling

Asymptotic normality, estimation, rate of strong convergence, strong consistency, time series models.

Korean tourist arrivals, exchange rates, approximate price effects, global financial crisis, Asian economic and financial crises, GARCH, GJR, EGARCH, HAR, long memory, asymmetry, leverage

Article influence, C3PO, Eigenfactor, h-index, IFI, Immediacy, Impact factors, PI-BETA, Research assessment measures, STAR, Zinfluence

Research assessment measures, impact factors, Immediacy, Eigenfactor, Article Influence, h-index, C3PO, Zinfluence, PI-BETA, STAR, IFI

multivariate GARCH, volatility spillovers, conditional correlations, Asian rubber prices, spot returns, futures returns

Financial markets, model selection, new products, price forecasting, time series, volatility forecasting

International direct investment, Export, Triadic Patent, Outward Direct Investment, Inward Direct Investment, R&D, negative binomial model

block structures; multivariate stochastic volatility; curse of dimensionality

Covariance forecasting, model confidence set, model ranking, MGARCH, model comparison

Realized volatility, volatility of volatility, volatility risk, value-at-risk, forecasting, conditional heteroskedasticity

ENSO, SOI, SOT, Volatility, GARCH, GJR, EGARCH

International tourist arrivals, exchange rates, global financial crisis, GARCH, GJR, EGARCH, HAR, approximate long memory, temporal aggregation, spatial aggregation, daily effects, weekly effects, asymmetry, leverage

Volatility Model Selection, Volatility Model Comparison, Non-Nested Models, Model Confidence Set, Value-At-Risk Forecasts, Asymmetry, Leverage

International tourism, economic development, tourism specialization, threshold regression, instrumental variables, panel data, cross-sectional data

Volatility spillovers, VARMA-GARCH, VARMA-AGARCH, Chinese stock market

intra-day seasonality, ACD models, density forecasts

Asymmetry, Cointegration, Forecasting models and expertise, Fractional integration, Leverage, Long memory, Thresholds, Unit roots, VARFIMA, Volatility

Unit roots, fractional integration, long memory, VARFIMA, cointegration, volatility, thresholds, asymmetry, leverage, forecasting models and expertise

Box-Cox transformation, Brownian motion, constant elasticity of volatility, mean reversion, nonstandard distribution

Almost Ideal Demand (AID) Model, Tourism Demand, Price Competitiveness, Compensated Prices, Uncompensated Prices, Substitutes, Complements, Budget Shares, Error Correction, Monthly Frequency

Maximum Likelihood Estimators, Modified Maximum Likelihood Estimators, Student’s T Family, Capital Asset Pricing Model, Robustness

Sign test, trinomial test, non-parametric test, ties, test statistics, hypothesis testing

S&P 500, VIX, Entropy, Non-Parametric Estimation, Quantile Regressions

university rankings, citations, economics departments, journal rankings, alternative methodologies

Return-Volatility relationship, quantile regression, copula, copula quantile regression, volatility index, tail dependence

Non-ferrous industrially used metals, Futures markets, Commodity prices, Commodity returns, Empirical models, Econometric critique

Bagging, Financial econometrics, Neural networks, Nonlinear models, Realized volatility, Volatility forecasting

U.S. Department of Justice, U.S. Patent & Trademark Office (USPTO), Antitrust laws, Innovation process, Patents, Intellectual property

asymmetric volatility, DAGARCH, stationarity conditions, threshold GARCH