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 & Francis Journals in its journal Applied Financial Economics.
Volume (Year): 7 (1997)
Issue (Month): 2 ()
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- Christos S. Savva & Kyriakos C. Neanidis & Denise R. Osborn, 2010.
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- Eun Ahn & Jin Man Lee, 2006. "Volatility relationship between stock performance and real output," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 777-784.
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