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Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach

  • Ho, Kin Yip
  • Tsui, Albert K.C.

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Article provided by Elsevier in its journal China Economic Review.

Volume (Year): 15 (2004)
Issue (Month): 4 ()
Pages: 424-442

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Handle: RePEc:eee:chieco:v:15:y:2004:i:4:p:424-442
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  1. Cheung, Yin-Wong & Ng, Lilian K, 1992. " Stock Price Dynamics and Firm Size: An Empirical Investigation," Journal of Finance, American Finance Association, vol. 47(5), pages 1985-97, December.
  2. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
  3. White, Halbert, 1980. "A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity," Econometrica, Econometric Society, vol. 48(4), pages 817-38, May.
  4. James Peery Cover & C. James Hueng, 2003. "The Correlation between Shocks to Output and the Price Level: Evidence from a Multivariate GARCH Model," Southern Economic Journal, Southern Economic Association, vol. 70(1), pages 75-92, July.
  5. Schwert, G William, 1989. "Tests for Unit Roots: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(2), pages 147-59, April.
  6. Yeh, Yin-Hua & Lee, Tsun-Siou, 2000. "The interaction and volatility asymmetry of unexpected returns in the greater China stock markets," Global Finance Journal, Elsevier, vol. 11(1-2), pages 129-149.
  7. Hong, Yongmiao & Lee, Jin, 2001. "One-Sided Testing For Arch Effects Using Wavelets," Econometric Theory, Cambridge University Press, vol. 17(06), pages 1051-1081, December.
  8. Tse, Y. K. & Tsui, Albert K. C., 1997. "Conditional volatility in foreign exchange rates: Evidence from the Malaysian ringgit and Singapore dollar," Pacific-Basin Finance Journal, Elsevier, vol. 5(3), pages 345-356, July.
  9. Canning, D. & Amaral, L. A. N. & Lee, Y. & Meyer, M. & Stanley, H. E., 1998. "Scaling the volatility of GDP growth rates," Economics Letters, Elsevier, vol. 60(3), pages 335-341, September.
  10. Hamori, Shigeyuki, 2000. "Volatility of real GDP: some evidence from the United States, the United Kingdom and Japan," Japan and the World Economy, Elsevier, vol. 12(2), pages 143-152, May.
  11. Michael W. Bell & Kalpana Kochhar & Hoe Ee Khor, 1993. "China at the Threshold of a Market Economy," IMF Occasional Papers 107, International Monetary Fund.
  12. Robert F. Engle & Takatoshi Ito & Wen-Ling Lin, 1988. "Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market," NBER Working Papers 2609, National Bureau of Economic Research, Inc.
  13. Allan D. Brunner, 1994. "On the dynamic properties of asymmetric models of real GNP," International Finance Discussion Papers 489, Board of Governors of the Federal Reserve System (U.S.).
  14. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  15. Allen C. Head, 1995. "Country Size, Aggregate Fluctuations, and International Risk Sharing," Canadian Journal of Economics, Canadian Economics Association, vol. 28(4b), pages 1096-1119, November.
  16. Mark W. French & Daniel E. Sichel, 1991. "Cyclical patterns in the variance of economic activity," Finance and Economics Discussion Series 161, Board of Governors of the Federal Reserve System (U.S.).
  17. Hogan, Kedreth Jr. & Melvin, Michael T., 1994. "Sources of meteor showers and heat waves in the foreign exchange market," Journal of International Economics, Elsevier, vol. 37(3-4), pages 239-247, November.
  18. Brunner, Allan D, 1992. "Conditional Asymmetries in Real GNP: A Seminonparametric Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 65-72, January.
  19. Shahid Yusuf, 1994. "China's Macroeconomic Performance and Management during Transition," Journal of Economic Perspectives, American Economic Association, vol. 8(2), pages 71-92, Spring.
  20. Kim, Kiwhan & Schmidt, Peter, 1993. "Unit root tests with conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 59(3), pages 287-300, October.
  21. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  22. Torben G. Andersen & Tim Bollerslev, 1998. "Deutsche Mark-Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies," Journal of Finance, American Finance Association, vol. 53(1), pages 219-265, 02.
  23. Lee, Jim, 1999. "The inflation and output variability tradeoff: evidence from a Garch model," Economics Letters, Elsevier, vol. 62(1), pages 63-67, January.
  24. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  25. Jim Lee, 2002. "The Inflation-Output Variability Tradeoff and Monetary Policy: Evidence from a GARCH Model," Southern Economic Journal, Southern Economic Association, vol. 69(1), pages 175-188, July.
  26. Tsui, Albert K. & Yu, Qiao, 1999. "Constant conditional correlation in a bivariate GARCH model: evidence from the stock markets of China," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 503-509.
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