this paper investigate iranian tourism demand to malaysia using the recently developed autoregressive distributed lag (ardl) ‘bound test’ approach to cointegration for 2000:q1 to 2013:q4. the demand for tourism has been explained by macroeconomic variables, including income in iran, tourism prices in malaysia, tourism price substitute, travel cost and trade value between iran and malaysia. in a...

T he relationship between the price of oil and the level of economic activity is a fundamental empirical issue in macroeconomics. In this research, by using a multivariate GARCH-in-Mean VAR, we try to investigate direct effects of uncertainty of oil price on macroeconomics of Iran by using annually data from 1965 to 2013.Results show that uncertainty about oil prices had a negative a...

One of the most important duties of financial economy is modeling and forecasting the volatilities of price of risky assets. From analysts and policy makers’ view, price volatility is a key variable contributing to perception of market volatilities. Therefore, analysts need to have an appropriate of forecast of price volatility as a necessary input to perform duties such as risk management, por...

Employing the dataset of WTI oil spot price and stock price index in China Brazil, India, US, German, France, UK and Japan, this paper obtains five subinterval of whole sample range through a nonparametric multiple change point algorithms. Furthermore, it analyses dependence between oil spot price and stock price index through copula model and computes the value of VaR and ES based on simulatio...

This study discusses the relationship between hot money and stock market in China by employing Autoregressive Distributed Lag (ARDL) Nonlinear (NARDL) methods. The data used this is quarterly over period 2000: Q1 to 2017: Q4. results show that oil price, economic growth possess a long-run towards China, whereas, no effect found from inflation. price are both positively related while there negat...

Fluctuations in crude oil price significantly impact the global economic market. A rise or a fall leads to redistribution of wealth in both oil-exporting and importing countries. Under such background, efficient and accurate predictions for crude oil price are critical for a stable economic development. However, crude oil price forecasting has been proved to be an extremely tough task, due to i...