Asset prices and output growth volatility: the effects of financial crises

DOI10.1016/S0165-1765(02)00289-6zbMATH Open1254.91570OpenAlexW2030097605MaRDI QIDQ1925985FDOQ1925985

Authors: Guglielmo Maria Caporale, Nicola Spagnolo 

Publication date: 27 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00289-6

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zbMATH Keywords

volatilityfinancial crisesmultivariate GARCHstock pricesoutput growth

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• On a measure of lack of fit in time series models
• Optimal horizons for inflation targeting

Cited In (5)

• Crisis and creative destruction: cases of Korean and Japanese stock markets
• The volatility of asset prices in a stochastic production economy
• Asset Prices, Booms and Recessions
• Macroeconomic Effects of Asset‐Price Shocks in a Globalized Financial Market
• Asset price volatility and banks

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