IDEAS home Printed from https://ideas.repec.org/a/eee/japwor/v15y2003i2p223-231.html
   My bibliography  Save this article

Alternative characterization of the volatility in the growth rate of real GDP

Author

Listed:
  • Bhar, Ramaprasad
  • Hamori, Shigeyuki

Abstract

No abstract is available for this item.

Suggested Citation

  • Bhar, Ramaprasad & Hamori, Shigeyuki, 2003. "Alternative characterization of the volatility in the growth rate of real GDP," Japan and the World Economy, Elsevier, vol. 15(2), pages 223-231, April.
    • Handle: RePEc:eee:japwor:v:15:y:2003:i:2:p:223-231
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0922-1425(02)00012-9
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Drost, Feike C & Nijman, Theo E, 1993. "Temporal Aggregation of GARCH Processes," Econometrica, Econometric Society, vol. 61(4), pages 909-927, July.
    2. Lamoureux, Christopher G & Lastrapes, William D, 1990. "Persistence in Variance, Structural Change, and the GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 225-234, April.
    3. Margaret M. McConnell & Gabriel Perez-Quiros, 2000. "Output fluctuations in the United States: what has changed since the early 1980s?," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    4. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    5. Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard, 1998. "Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 131-154, June.
    6. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fang, WenShwo & Miller, Stephen M., 2009. "Modeling the volatility of real GDP growth: The case of Japan revisited," Japan and the World Economy, Elsevier, vol. 21(3), pages 312-324, August.
    2. Giorgio Canarella & WenShwo Fang & Stephen M. Miller & Stephen K. Pollard, 2008. "Is the Great Moderation Ending? UK and US Evidence," Working Papers 0801, University of Nevada, Las Vegas , Department of Economics.
    3. Jorge M. Andraz & Nelia M. Norte, 2013. "Output volatility in the OECD: Are the member states becoming less vulnerable to exogenous shocks?," Economic Issues Journal Articles, Economic Issues, vol. 18(2), pages 91-122, September.
    4. WenShwo Fang & Stephen M. Miller & ChunShen Lee, 2008. "Cross‐Country Evidence On Output Growth Volatility: Nonstationary Variance And Garch Models," Scottish Journal of Political Economy, Scottish Economic Society, vol. 55(4), pages 509-541, September.
    5. repec:ipg:wpaper:2014-459 is not listed on IDEAS
    6. WenShwo Fang & Stephen M. Miller, 2014. "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, Southern Economic Association, vol. 80(3), pages 728-751, January.
    7. Chen, Shyh-Wei, 2006. "Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 71(2), pages 87-102.
    8. repec:spr:portec:v:16:y:2017:i:1:d:10.1007_s10258-017-0128-y is not listed on IDEAS
    9. Beatrice Simo-Kengne & Stephen Miller & Rangan Gupta & Mehmet Balcilar, 2016. "Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 226-243, April.
    10. Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta & Mehmet Balcilar, 2016. "Evolution of the Monetary Transmission Mechanism in the US: the Role of Asset Returns," The Journal of Real Estate Finance and Economics, Springer, vol. 52(3), pages 226-243, April.
    11. Kristoffer P. Nimark, 2014. "Man-Bites-Dog Business Cycles," American Economic Review, American Economic Association, vol. 104(8), pages 2320-2367, August.
    12. Stilianos Fountas & Menelaos Karanasos, 2008. "Are economic growth and the variability of the business cycle related? Evidence from five European countries," International Economic Journal, Taylor & Francis Journals, vol. 22(4), pages 445-459.
    13. Beatrice D. Simo-Kengne & Stephen M. Miller & Rangan Gupta, 2013. "Evolution of Monetary Policy in the US: The Role of Asset Prices," Working Papers 201343, University of Pretoria, Department of Economics.
    14. Paul Beaumont & Stefan Norrbin & F. Pinar Yigit, 2007. "Time series evidence on the linkage between the volatility and growth of output," Applied Economics Letters, Taylor & Francis Journals, vol. 15(1), pages 45-48.
    15. Said Zamin Shah & Said Zamin Shah & Ahmad Zubaidi Baharumshah & Muzafar Shah Habibullah & Law Siong Hook, 2017. "The Asymmetric Effects of Real and Nominal Uncertainty on Inflation and Output Growth: Empirical Evidence from Bangladesh," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 377-386.
    16. P. Fulya Gebeşoğlu & Hasan Murat Ertuğrul, 2014. "GDP Volatility Spillovers from the US and EU to Turkey: A Dynamic Investigation," Ekonomi-tek - International Economics Journal, Turkish Economic Association, vol. 3(2), pages 51-66, May.
    17. repec:eee:asieco:v:61:y:2019:i:c:p:51-64 is not listed on IDEAS
    18. repec:eee:joecas:v:13:y:2016:i:c:p:74-80 is not listed on IDEAS

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:japwor:v:15:y:2003:i:2:p:223-231. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/locate/inca/505557 .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.