Asymmetries and non-linearities in economic activity
AbstractIndustrial production is analysed for three countries. A GARCH framework is employed to model the conditional variances of the cycles, which are found to react asymmetrically to shocks of opposite sign; one of the three cases exhibits long-memory features. The ability of GARCH models at capturing all the heteroscedasticity of the data is tested against the null of deterministic chaos.
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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Financial Economics.
Volume (Year): 7 (1997)
Issue (Month): 2 ()
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Web page: http://www.tandf.co.uk/journals/routledge/09603107.html
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- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2010.
"Business cycle synchronization of the euro area with the new and negotiating member countries,"
International Journal of Finance & Economics,
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- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2007. "Business Cycle Synchronization of the Euro Area with the New and Negotiating Member Countries," Centre for Growth and Business Cycle Research Discussion Paper Series 91, Economics, The Univeristy of Manchester.
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- Eun Ahn & Jin Man Lee, 2006. "Volatility relationship between stock performance and real output," Applied Financial Economics, Taylor and Francis Journals, vol. 16(11), pages 777-784.
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