HO, KIN-YIP; TSUI, ALBERT K.; ZHANG, ZHAOYONG - In: Journal of Economic Development 38 (2013) 3, pp. 33-56
Most studies of business cycle exclude the dimension of asymmetric conditional volatility. In this paper, we propose three bivariate asymmetric GARCH models to capture the properties of conditional volatility and time-varying conditional correlations of business cycle indicators in four OECD...