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Volatility dynamics of the UK business cycle : a multivariate asymmetric GARCH approach

Ho, Kin-Yip; Tsui, Albert K.; Zhang, Zhaoyong - In: International economics : a journal published by CEPII … 117 (2009) 1, pp. 31-46

Persistent link: https://www.econbiz.de/10003885910

Lower volatility, higher inequality : are they related?

Eksi, Ozan - In: Oxford economic papers 69 (2017) 4, pp. 847-869

Persistent link: https://www.econbiz.de/10011788169

Modeling volatility spillovers between the variabilities of US inflation and output : the UECCC GARCH model

Conrad, Christian; Karanasos, Menelaos - 2008

This paper employs the unrestricted extended constant conditional correlation GARCH specification proposed in Conrad …

Persistent link: https://www.econbiz.de/10003770689

Economic policy uncertainty shocks and stock-bond correlations : evidence from the US market

Li, Xiaoming; Zhang, Bing; Gao, Ruzhao - In: Economics letters 132 (2015), pp. 91-96

Persistent link: https://www.econbiz.de/10011431392

On the macroeconomic determinants of long-term volatilities and correlations in US stock and crude oil markets

Conrad, Christian; Stürmer, Karin; Rittler, Daniel - In: Journal of empirical finance 29 (2014), pp. 26-40

Persistent link: https://www.econbiz.de/10011300507

Economic Policy Uncertainty Shocks and Stock-Bond Correlations : Evidence from the US Market

Li, Xiaoming - 2015

This paper examines the effects of economic policy uncertainty shocks on stock-bond correlations for the US market. We devise a general framework which distinguishes a positive shock from a negative one and nests either as its special case. The results show that innovations in the policy...

Persistent link: https://www.econbiz.de/10013024205