Ho, Kin-Yip; Tsui, Albert K; Zhang, Zhaoyong - In: Journal of Economic Development 32 (2007) 2, pp. 157-182
In this paper, we analyse the conditional variance of the Australian real gross domestic product (GDP) and the expenditure components by a variety of generalised autoregressive conditional heteroskedasticity (GARCH) models. First, we test the plausibility of the constant-correlation assumption...