Volatility dynamics of the US business c
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Kin-Yip Ho; Albert K. Tsui; Zhaoyong Zhang
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Article
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2009
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Elsevier Science
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English
โ 508 KB
Most empirical investigations of the business cycles in the United States have excluded the dimension of asymmetric conditional volatility. This paper analyses the volatility dynamics of the US business cycle by comparing the performance of various multivariate generalised autoregressive conditional