Modeling the conditional volatility asymmetry of business cycles in four OECD countries: A multivariate GARCH approach
There are many studies on the business cycle indicators in the past decades, but mostly focusing on the asymmetric and non-linear features of business cycles incorporated into the conditional mean equation rather than the conditional variance formulation. Recently, the hypothesis of volatility asymmetry in business cycle indicators has been re-examined by, for instance, Ho and Tsui (2003 and 2004) using univariate asymmetric power ARCH (APARCH) and EGARCH models. However, the main drawback of...[Show more]
|Collections||ANU Research Publications|
|Source:||Proceedings of MODSIM 2011 International Congress on Modelling and Simulation|
|01_Ho_Modeling_the_conditional_2011.pdf||203 kB||Adobe PDF|
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