文章基本信息

标题：MGARCH Modeling of Inbound Tourism Demand Volatility in Turkey
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作者：İnci Oya Coşkun ; Mustafa Özer
期刊名称：MIBES Transactions
印刷版ISSN：1790-9899
出版年度：2011
卷号：5
期号：1
页码：24-40
出版社：T.E.I. of Larissa
摘要：Tourism has been one of the leading industries in the world economy for the last 50 years and has an outstanding importance for Turkey.Tourism industry mainly depends on demand, and analyzing the changes in tourism demand is essential for management purposes.Inbound tourism demand for Turkey has faced many challenges in the last three decades, such as terrorist attacks, epidemics, economic and financial crises, political turmoil and global downturns.Understanding the volatility of demand can help to develop appropriate solutions for recovery.In order to resolve volatility, this paper models the time series behavior of the four leading European tourism source countries, namely Germany, France, United Kingdom and Netherlands with multivariate GARCH models using monthly data for 1985:01-2009:09 period.The empirical results showed cross-country interdependent and dependent effects in the conditional correlations for all of the selected countries.The results of this paper indicate that -as the major source countries are dependent on each other- the demand volatility is caused by the economic conditions, preferences or other factors that originate from the source countries, rather than the internal dynamics of Turkey.
关键词：Tourism demand; volatility; multivariate GARCH models