Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach

DOI10.1016/j.matcom.2008.08.015zbMath1168.91473OpenAlexW1978055342MaRDI QIDQ834310

Zhaoyong Zhang, Albert K. Tsui, Kin-Yip Ho

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.08.015

zbMATH Keywords

constant correlationsindex of industrial productionmultivariate asymmetric GARCHUS business cycle non-linearitiesvarying-correlations

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Statistical methods; economic indices and measures (91B82)

Cites Work

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