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Persistence of travel and leisure sector equity indices

dc.contributor.authorAndraz, Jorge
dc.contributor.authorGuerreiro, Raúl Filipe C.
dc.contributor.authorRodrigues, Paulo M. M.
dc.date.accessioned2019-01-26T12:13:11Z
dc.date.available2019-01-26T12:13:11Z
dc.date.issued2018-06
dc.description.abstractVolatility persistence of travel and leisure sector equity indices and of some of its components is analyzed, and tests of whether persistence has changed over time are performed. Given the typical leading indicator behavior of financial variables, understanding and characterizing the properties of these indices may help shed light on the behavior of the tourism sector and of its resilience to crises. For the purpose of analysis, our sample is split into three subsamples according to the World tourism cycle: (i) from January 1996 to December 2002; (ii) from January 2003 to August 2007; and (iii) from September 2007 to July 2014. Results suggest the existence of long-memory dynamics driving series volatility, and that shocks to volatility tend to be more persistent during periods of turmoil and affect regions differently.pt_PT
dc.description.versioninfo:eu-repo/semantics/publishedVersionpt_PT
dc.identifier.doi10.1007/s00181-017-1276-8pt_PT
dc.identifier.issn0377-7332
dc.identifier.issn0377-7332
dc.identifier.urihttp://hdl.handle.net/10400.1/12309
dc.language.isoengpt_PT
dc.peerreviewedyespt_PT
dc.publisherSpringerpt_PT
dc.subjectLong memorypt_PT
dc.subjectPersistence breakspt_PT
dc.subjectCrisespt_PT
dc.subjectTourismpt_PT
dc.titlePersistence of travel and leisure sector equity indicespt_PT
dc.typejournal article
dspace.entity.typePublication
oaire.citation.conferencePlaceVienna, Austriapt_PT
oaire.citation.endPage1825pt_PT
oaire.citation.issue4pt_PT
oaire.citation.startPage1801pt_PT
oaire.citation.titleEmpirical Economics, A Journal of the Institute for Advanced Studiespt_PT
oaire.citation.volume54pt_PT
person.familyNameAndraz
person.familyNameConceição Guerreiro
person.givenNameJorge
person.givenNameRaúl Filipe
person.identifier.ciencia-idEC1D-CDFD-EB51
person.identifier.ciencia-idF61D-C1EA-3E68
person.identifier.orcid0000-0001-9209-3344
person.identifier.orcid0000-0002-6301-7104
person.identifier.ridB-5858-2009
person.identifier.scopus-author-id8566879600
rcaap.rightsrestrictedAccesspt_PT
rcaap.typearticlept_PT
relation.isAuthorOfPublication18a100c0-998a-4879-a6db-86f067253a64
relation.isAuthorOfPublication889b4e55-c053-48e0-b5fe-5be0c06ec01b
relation.isAuthorOfPublication.latestForDiscovery18a100c0-998a-4879-a6db-86f067253a64

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