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

10.1016/j.matcom.2008.08.015

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Bibliographic Details
Main Authors:	Ho, K.-Y., Tsui, A.K., Zhang, Z.
Other Authors:	ECONOMICS
Format:	Article
Published:	2011
Subjects:	Constant correlations Index of industrial production Multivariate asymmetric GARCH US business cycle non-linearities Varying-correlations
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/22333
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-22333
record_format	dspace
spelling	sg-nus-scholar.10635-223332023-10-30T21:55:10Z Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach Ho, K.-Y. Tsui, A.K. Zhang, Z. ECONOMICS Constant correlations Index of industrial production Multivariate asymmetric GARCH US business cycle non-linearities Varying-correlations 10.1016/j.matcom.2008.08.015 Mathematics and Computers in Simulation 79 9 2856-2868 MCSID 2011-05-03T08:08:42Z 2011-05-03T08:08:42Z 2009 Article Ho, K.-Y., Tsui, A.K., Zhang, Z. (2009). Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach. Mathematics and Computers in Simulation 79 (9) : 2856-2868. ScholarBank@NUS Repository. https://doi.org/10.1016/j.matcom.2008.08.015 03784754 http://scholarbank.nus.edu.sg/handle/10635/22333 000267256100018 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Constant correlations Index of industrial production Multivariate asymmetric GARCH US business cycle non-linearities Varying-correlations
spellingShingle	Constant correlations Index of industrial production Multivariate asymmetric GARCH US business cycle non-linearities Varying-correlations Ho, K.-Y. Tsui, A.K. Zhang, Z. Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
description	10.1016/j.matcom.2008.08.015
author2	ECONOMICS
author_facet	ECONOMICS Ho, K.-Y. Tsui, A.K. Zhang, Z.
format	Article
author	Ho, K.-Y. Tsui, A.K. Zhang, Z.
author_sort	Ho, K.-Y.
title	Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
title_short	Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
title_full	Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
title_fullStr	Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
title_full_unstemmed	Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach
title_sort	volatility dynamics of the us business cycle: a multivariate asymmetric garch approach
publishDate	2011
url	http://scholarbank.nus.edu.sg/handle/10635/22333
_version_	1781410206635261952

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

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