This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom …, and the United States. Previous studies find high persistence in the volatility. This paper shows that this finding … conditional heteroskedasticity (GARCH) specifications modeling output growth and its volatility with and without the break in …

volatility over the period 1947 to 2006. First, we consider the possible effects of structural change in the volatility process …. In so doing, we employ GARCH-M and ARCH-M specifications of the process describing output growth rate and its volatility … with and without a one-time structural break in volatility. Second, our data analyses and empirical results suggest no …

to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and … employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and … spanning the period from 1890 to 2012 indicate that the interest rate responds more strongly to asset returns during low-volatility …

to variations in asset returns. We distinguish between low-volatility (bull) and high-volatility (bear) markets and … employ a TVP-VAR approach with stochastic volatility to assess the evolution of the interest rate in relation to housing and … spanning the period from 1890 to 2013 indicate that the interest rate responds more strongly to asset returns during low-volatility …

This study examines the relationship between U.S. output growth and its volatility over the period 1875:Q1 to 2008:Q2 … breaks in the growth rate and its volatility. In so doing, we employ autoregressive generalized conditional … growth rate and its volatility with and without structural breaks in the mean and volatility processes. We discover one break …