Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach (Q834310)
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scientific article; zbMATH DE number 5596884
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| English | Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach |
scientific article; zbMATH DE number 5596884 |
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Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach (English)
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19 August 2009
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constant correlations
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US business cycle non-linearities
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index of industrial production
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multivariate asymmetric GARCH
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varying-correlations
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0.791846752166748
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0.763904333114624
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0.7489854097366333
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