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Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States

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  • Ho, Kin-Yip
  • Tsui, Albert K. C.

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  • Ho, Kin-Yip & Tsui, Albert K. C., 2003. "Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States," Japan and the World Economy, Elsevier, vol. 15(4), pages 437-445, December.
    • Handle: RePEc:eee:japwor:v:15:y:2003:i:4:p:437-445
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    References listed on IDEAS

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    1. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    2. 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.
    3. A. I. McLeod & W. K. Li, 1983. "Diagnostic Checking Arma Time Series Models Using Squared‐Residual Autocorrelations," Journal of Time Series Analysis, Wiley Blackwell, vol. 4(4), pages 269-273, July.
    4. 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.
    5. 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.
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    Cited by:

    1. Vu Thanh Hai & Albert K. Tsui & Zhaoyong Zhang, 2013. "Measuring asymmetry and persistence in conditional volatility in real output: evidence from three East Asian tigers using a multivariate GARCH approach," Applied Economics, Taylor & Francis Journals, vol. 45(20), pages 2909-2914, July.
    2. 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.
    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. Aykut Ekinci, 2022. "Relationship Between Output Volatility and Output in OECD Countries Revisited," Prague Economic Papers, Prague University of Economics and Business, vol. 2022(6), pages 509-537.
    6. Nadal De Simone, Francisco & Clarke, Sean, 2007. "Asymmetry in business fluctuations: International evidence on Friedman's plucking model," Journal of International Money and Finance, Elsevier, vol. 26(1), pages 64-85, February.
    7. WenShwo Fang & Stephen M. Miller, 2014. "Output Growth and its Volatility: The Gold Standard through the Great Moderation," Southern Economic Journal, John Wiley & Sons, vol. 80(3), pages 728-751, January.
    8. Paolo Guarda & Abdelaziz Rouabah, 2015. "Is the financial sector Luxembourg?s engine of growth?," BCL working papers 97, Central Bank of Luxembourg.
    9. Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2013. "Conditional Volatility Asymmetry Of Business Cycles: Evidence From Four Oecd Countries," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 38(3), pages 33-56, September.
    10. 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.
    11. Jorge M. Andraz & Nélia M. Norte, 2017. "Gross domestic product growth, volatility and regime changes nexus: the case of Portugal," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(1), pages 1-16, April.
    12. Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
    13. Amélie Charles & Olivier Darné, 2021. "Econometric history of the growth–volatility relationship in the USA: 1919–2017," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 15(2), pages 419-442, May.
    14. Aloui, Chaker & Hkiri, Besma, 2014. "Co-movements of GCC emerging stock markets: New evidence from wavelet coherence analysis," Economic Modelling, Elsevier, vol. 36(C), pages 421-431.
    15. Ho, Kin-Yip & Tsui, Albert K. & Zhang, Zhaoyong, 2009. "Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2856-2868.
    16. Saha, Mallika & Dutta, Kumar Debasis & Islam, MD. Shafiqul, 2020. "Explaining the nature of economic volatility based on GDP and international trade: a study on China and the United States," MPRA Paper 111482, University Library of Munich, Germany.
    17. Gustavo Freire & Marcelo Resende, 2020. "Conditional growth volatility and sectoral comovement in U.S. industrial production, 1828–1915," Empirical Economics, Springer, vol. 59(6), pages 3063-3084, December.

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