Asymmetries and non-linearities in economic activity
Industrial 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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Volume (Year): 7 (1997)
Issue (Month): 2 ()
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