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Modeling the conditional volatility asymmetry of business cycles in four OECD countries: A multivariate GARCH approach

Ho, Kin-Yip; Tsui, A K; Zhang, Zhaoyong

Description

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]

CollectionsANU Research Publications
Date published: 2011
Type: Conference paper
URI: http://hdl.handle.net/1885/26009
Source: Proceedings of MODSIM 2011 International Congress on Modelling and Simulation

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