References Asai, M. and M. McAleer (2008), “A Portfolio Index GARCH Model”, International Journal of Forecasting, 24, 449-461. Asai, M. and M. McAleer (2009), “The Structure of Dynamic Correlations in Multivariate Stochastic Volatility Models”, Journal of Econometrics, 150, 182-192. Asai, M., M. McAleer, and J. Yu (2006), “Multivariate Stochastic Volatility: A Review”, Econometric Reviews, 25, 145-175. Bauwens L., S. Laurent and J.K.V. Rombouts (2006), “Multivariate GARCH Models: A Survey”, Journal of Applied Econometrics, 21, 79-109. Bollerslev, T. (1990), “Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Approach”, Review of Economics and Statistics, 72, 498-505. Bollerslev, T., R.F. Engle and J.M. Wooldridge (1988), “A Capital Asset Pricing Model with Time Varying Covariances”, Journal of Political Economy, 96, 116-131. Bollerslev, T. and J.M. Wooldridge (1992), “Quasi-Maximum Likelihood Estimation and Inference in Dynamic Models with Time-Varying Covariances”, Econometric Reviews, 11, 143--172. Chiu, T.Y.M, T. Leonard and K.-W. Tsui (1996), “The Matrix-Logarithmic Covariance Model”, Journal of the American Statistical Association, 91, 198-210. Deb, P. (1996), “Finite Sample Properties of the Maximum Likelihood Estimator of EGARCH Models”, Econometric Reviews, 15, 51-68. Ding, Z. and R.F. Engle (2001), “Large Scale Conditional Covariance Matrix Modeling, Estimation and Testing”, Academia Economic Papers, 1, 83-106. Engle, R.F. (2002), “Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models”, Journal of Business and Economic Statistics, 20, 339-350. Engle, R.F. and K.F. Kroner (1995), “Multivariate Simultaneous Generalized ARCH”, Econometric Theory, 11, 122-150. Glosten, L., R. Jagannathan and D. Runkle (1992), “On the Relation Between the Expected Value and Volatility of Nominal Excess Returns on Stocks”, Journal of Finance, 46, 1779-1801. Hentschel, L. (1995), “All in the Family: Nesting Symmetric and Asymmetric GARCH Models”, Journal of Financial Economics, 39, 71-104. Kawakatsu, H., (2006), “Matrix Exponential GARCH”, Journal of Econometrics, 134, 95-128. Kroner, K. and V. Ng (1998), “Modeling Asymmetric Comovements of Asset Returns”, Review of Financial Studies, 11, 817-844. Ling, S. and M. McAleer (2003), “On Adaptive Estimation in Nonstationary ARMA Models with GARCH Errors”, Annals of Statistics, 31, 642-674. Lumsdaine, R.L. (1995), “Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation”, Journal of Business & Economics Statistics, 13, 1--10. McAleer, M. (2005), “Automated Inference and Learning in Modeling Financial Volatility”, Econometric Theory, 21, 232-261. McAleer, M., F. Chan, S. Hoti and O. Lieberman (2008), “Generalized Autoregressive Conditional Correlation”, Econometric Theory, 24, 1554-1583. McAleer, M., S. Hoti, and F. Chan (2009), “Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility,” Econometric Reviews, 28, 422-440. Nelson, D.B. (1990), “ARCH Models as Diffusion Approximations”, Journal of Econometrics, 45, 7–38. Nelson, D.B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59, 347-370. Song, P. X-K., Y. Fan, and J.D. Kalbfleisch (2005), “Maximization by Parts in Likelihood Inference”, Journal American Statistical Association, 100, 1163-1167. Tse, Y.K., and A.K.C. Tsui (2002), “A Multivariate GARCH Model with Time-Varying Correlations”, Journal of Business and Economic Statistics, 20, 351–362. van der Weide, R. (2002), “GO-GARCH: A Multivariate Generalized Orthogonal GARCH Model”, Journal of Applied Econometrics, 17, 549-564. Martens, M., D. van Dijk, and M. de Pooter (2009), “Forecasting S&P 500 Volatility: Long Memory, Level Sifts, Leverage Effects, Day-of-the-Week Seasonality, and Macroeconomic Announcements”, International Journal of Forecasting, 25, 282-303. McAleer, M. (2005), “Automated Inference and Learning in Modeling Financial Volatility”, Econometric Theory, 21, 232-261. McAleer, M. and M. Medeiros (2008), “Realized Volatility: A Review”, Econometric Reviews, 27, 10-45. Nelson, D.B. (1990), “ARCH Models as Diffusion Approximations”, Journal of Econometrics, 45, 7–38. Nelson, D.B. (1991), “Conditional Heteroskedasticity in Asset Returns: A New Approach”, Econometrica, 59, 347-370. Patton, A. and K. Sheppard (2010), “Good Volatility, Bad Volatility: Signed Jumps and the Persistence of Volatility”, Unpublished Paper, Duke University. Pong S., M.B. Shackelton, S.J. Taylor and X. Xu (2004), “Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA models, Journal of Banking and Finance, 28, 2541-2563. Shephard, N. and K. Sheppard (2010), “Realising the Future: Forecasting with High-Frequency Based Volatility (HEAVY) Models”, Journal of Applied Econometrics, 23, 197-231. Taylor, S.J. (1982), “Financial Returns Modelled by the Product of Two Stochastic Processes - A Study of Daily Sugar Prices 1961-79”, in O. D. Anderson (Ed.), Time Series Analysis: Theory and Practice, 1, Amsterdam: North-Holland, pp. 203–226. Todorov, V. (2009), “Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data”, Journal of Econometrics, 148, 131-148. Wiggins, J.B. (1987), “Option Values Under Stochastic Volatility: Theory and Empirical Estimates”, Journal of Financial Economics, 19, 351-372. Yu, J. (2005), “On Leverage in a Stochastic Volatility Model”, Journal of Econometrics, 127, 165-178. Zhang, L., P.A. Mykland and Y. Aït-Sahalia (2005), “A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data”, Journal of the American Statistical Association, 100, 1394 – 1411. Taiwan Tourism Bureau (2006), 2005 Survey Report on Visitors Expenditure and Trends in Taiwan, Tourism Bureau, Taipei. Tourism New Zealand (2006), Japan, http://www.tourismnewzealand.com/tourism_info/market-research/market-guides, October 25, 2006. World Tourism Organisation (2006), Tourism Highlights 2005 Edition, World Tourism Organisation, Madrid.