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

DOI10.1016/S0165-1765(02)00289-6MaRDI QIDQ1925985zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

volatilityfinancial crisesmultivariate GARCHstock pricesoutput growth

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites work

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

Cited in

(7)

• Currency crises and output dynamics
• The volatility of asset prices in a stochastic production economy
• Crisis and creative destruction: cases of Korean and Japanese stock markets
• Asset Prices, Booms and Recessions
• Financial crises and economic recovery: cross-country heterogeneity and cross-sectional dependence
• Asset price volatility and banks
• Macroeconomic Effects of Asset‐Price Shocks in a Globalized Financial Market

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