Measuring Asymmetry and Persistence in Conditional Volatility in Real Output : Evidence from Three East Asian Tigers Using a Multivariate GARCH approach
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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," Applied Economics, 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.
References listed on IDEAS
- 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.
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"On The Dynamic Properties Of Asymmetric Models Of Real GNP,"
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- Irene Brunetti & Davide fiaschi & Lisa Gianmoena, 2013. "An Index of Growth Rate Volatility: Methodology and an Application to European Regions," Discussion Papers 2013/169, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
- Yavas, Burhan F. & Dedi, Lidija, 2016. "An investigation of return and volatility linkages among equity markets: A study of selected European and emerging countries," Research in International Business and Finance, Elsevier, vol. 37(C), pages 583-596.
- repec:bla:presci:v:96:y:2017:i:4:p:697-720 is not listed on IDEAS
- Irene Brunetti & Davide Fiaschi & Lisa Gianmoena & Angela Parenti, 2017. "Volatility in European regions," Papers in Regional Science, Wiley Blackwell, vol. 96(4), pages 697-720, November.
- Prakash L. Dheeriya & Fahimeh Rezayat & Burhan F. Yavas, 2014. "Relations between Volatility and Returns of Exchange Traded Funds of Emerging Markets and of USA," Review of Economics & Finance, Better Advances Press, Canada, vol. 4, pages 44-46, Feburary.
More about this item
KeywordsEast Asia; Real Output; GARCH; structural changes; asymmetric volatility;
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- F31 - International Economics - - International Finance - - - Foreign Exchange
- P21 - Economic Systems - - Socialist Systems and Transition Economies - - - Planning, Coordination, and Reform
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