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

DOI10.1016/J.MATCOM.2008.08.015MaRDI QIDQ834310zbMATH OpenOpenAlexFDO

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

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

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Cites work

• A test for constant correlations in a multivariate GARCH model
• ARMA MODELS WITH ARCH ERRORS
• Asymptotic Filtering Theory for Univariate Arch Models
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Diagnostic checking of nonlinear multivariate time series with multivariate arch errors
• Forecasting Using Principal Components From a Large Number of Predictors
• GENERALIZED AUTOREGRESSIVE CONDITIONAL CORRELATION
• Generalized autoregressive conditional heteroscedasticity
• Quadratic ARCH Models
• Structure and Asymptotic Theory for Multivariate Asymmetric Conditional Volatility
• Threshold heteroskedastic models
• Variance Function Estimation

Cited in

(7)

• Modelling the asymmetric volatility of electronics patents in the USA.
• Simultaneously modeling the volatility of the growth rate of real GDP and determining business cycle turning points: Evidence from the U.S., Canada and the UK
• Research on the dynamic relationship between business cycle and financial cycle: an empirical study based on DCC-GARCH model
• Sectoral Investigation of Asymmetries in the Conditional Mean Dynamics of the Real U.S. GDP
• Should Policy Makers Worry about Asymmetries in the Business Cycle?
• Analyzing business cycle asymmetries in a multi-level factor model
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities

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