Volatility dynamics of the UK business cycle: A multivariate asymmetric garch approach
نویسندگان
چکیده
منابع مشابه
Modeling the Conditional Volatility Asymmetry of Business Cycles in Four OECD Countries: A Multivariate GARCH Approach
There are many studies on the business cycle indicators in the past decades, but mostly focusing on the asymmetric and non-linear features of business cycles incorporated into the conditional mean equation rather than the conditional variance formulation. Recently, the hypothesis of volatility asymmetry in business cycle indicators has been re-examined by, for instance, Ho and Tsui (2003 and 20...
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ژورنال
عنوان ژورنال: Économie internationale
سال: 2009
ISSN: 1240-8093
DOI: 10.3917/ecoi.117.0031