Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States
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References listed on IDEAS
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- 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,"
Taylor & Francis Journals, vol. 45(20), pages 2909-2914, July.
- Vu Thanh Hai & Albert K. Tsui & Zhaoyong Zhang, 2009. "Measuring Asymmetry and Persistence in Conditional Volatility in Real Output: Evidence from Three East Asian Tigers Using a Multivariate GARCH approach," SCAPE Policy Research Working Paper Series 0904, National University of Singapore, Department of Economics, SCAPE.
- Vu Thanh Hai & Albert K. Tsuia & Zhaoyong Zhang, 2009. "Measuring Asymmetry and Persistence in Conditional Volatility in Real Output : Evidence from Three East Asian Tigers Using a Multivariate GARCH approach," Trade Working Papers 22760, East Asian Bureau of Economic Research.
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"Modeling the volatility of real GDP growth: The case of Japan revisited,"
Japan and the World Economy,
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- WenShwo Fang & Stephen M. Miller, 2008. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working papers 2008-47, University of Connecticut, Department of Economics.
- WenShwo Fang & Stephen M. Miller, 2009. "Modeling the Volatility of Real GDP Growth: The Case of Japan Revisited," Working Papers 0904, University of Nevada, Las Vegas , Department of Economics.
- 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.
- 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.
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- Artiach, Miguel, 2012. "Leverage, skewness and amplitude asymmetric cycles," MPRA Paper 41267, University Library of Munich, Germany.
- 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.
- 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.
- Kin-Yip Ho & Albert K. Tsui & Zhaoyong Zhang, 2009. "Volatility Dynamics of the UK Business Cycle: a Multivariate Asymmetric Garch Approach," Economie Internationale, CEPII research center, issue 117, pages 31-46.
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