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

• Main Authors: Ho, K.-Y., Tsui, A.K., Zhang, Z.Y.
• Other Authors: ECONOMICS
• Format: Conference or Workshop Item
• Published: 2014
• Subjects: Business Cycle Non-linearities; Constant correlations; Index of Industrial Production; Multivariate Asymmetric GARCH; Varying-Correlations
• Online Access: http://scholarbank.nus.edu.sg/handle/10635/52151
• Institution: National University of Singapore

MODSIM 2011 - 19th International Congress on Modelling and Simulation - Sustaining Our Future: Understanding and Living with Uncertainty