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This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom … volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the … U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate …
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Using recent advances in time-varying spectral methods, this research analyses the growth cycles of the core of the euro area in terms of frequency content and phasing of cycles. The methodology uses the continuous wavelet transform (CWT) and also Hilbert wavelet pairs in the setting of a...
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