Please use this identifier to cite or link to this item: http://hdl.handle.net/10553/55424
Title: Modelling tourism receipts and associated risks, using long-range dependence models
Authors: Pérez-Rodríguez, Jorge V. 
Santana-Gallego, María
UNESCO Clasification: 5302 Econometría
531290 Economía sectorial: turismo
Keywords: Long-range dependence models
Tourism receipt growth rates
Univariate GARCH
Value-at-risk
Issue Date: 2019
Journal: Tourism Economics 
Abstract: Tourism receipts have important policy implications for destination countries in terms of government revenues and the management of tourism-related policies. This article uses time series models to analyse the risk exposure reflected in the growth rates of tourism revenues. To do so, we apply risk management measures based on value-at-risk (VaR) and the expected shortfall (ES), analysing monthly data for six Spanish regions from January 2004 to March 2017. Two main results were obtained. Firstly, tourism receipt growth rates present negative long-range dependence. In other words, they have intermediate memory or anti-persistence and therefore show signs of dependence between widely separated observations. Moreover, we detected the existence of long-range dependence in these volatilities in one of the six regions considered. Secondly, we show that VaR based on Generalized Autoregressive Conditional Heteroscedasticity (GARCH)-type models is a valid means of analysing the risk exposure of tourism receipt growth rates, doing so by evaluating various in-sample and out-of-sample VaR thresholds and the ES.
URI: http://hdl.handle.net/10553/55424
ISSN: 1354-8166
DOI: 10.1177/1354816619828170
Source: Tourism Economics[ISSN 1354-8166],v. 26 (1), p. 70-96, (Febrero 2020)
URL: https://api.elsevier.com/content/abstract/scopus_id/85061784770
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