Henry, Ólan; Olekalns, Nilss; Shields, Kalvinder - In: Journal of Macroeconomics 32 (2010) 4, pp. 1083-1100
In this paper, we present a general model of the joint data generating process underlying economic activity and stock market returns allowing for complex nonlinear feedbacks and interdependencies between the conditional means and conditional volatilities of the variables. We propose statistics...
