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Model uncertainty and endogenous volatility

Branch, William A.; Evans, George W. - In: Review of economic dynamics 10 (2007) 2, pp. 207-237

Persistent link: https://www.econbiz.de/10003483152

International Spillovers of Output Growth and Output Growth Volatility : Evidence from the G7 Countries

Antonakakis, Nikolaos - 2014

This paper examines the transmission of GDP growth and GDP growth volatility among the G7 countries over the period 1960Q1 – 2010Q4, using a multivariate GARCH model and volatility impulse response functions (VIRFs) to identify the source, magnitude and the duration of volatility spillovers....

Persistent link: https://www.econbiz.de/10013058576

The Link between Output Growth and Output Volatility in Five Crisis-Affected Asian Countries

Jiranyakul, Komain - 2011

This article tests the Black's hypothesis in five crisis-affected Asian countries (India, Japan, Malaysia, South Korea …

Persistent link: https://www.econbiz.de/10013125767

What's so great about the Great Moderation? : a multi-country investigation of time-varying volatilities of output growth and inflation

Keating, John William; Valcarcel, Victor J. - 2012

Persistent link: https://www.econbiz.de/10009502889

Does energy consumption volatility affect real GDP volatility? : an empirical analysis for the UK

Rashid, Abdul; Kandemir Kocaaslan, Ozge - In: International Journal of Energy Economics and Policy : IJEEP 3 (2013) 4, pp. 384-394

Persistent link: https://www.econbiz.de/10010233929

Measuring asymmetry and persistence in conditional volatility in real output : evidence from three East Asian tigers using a multivariate GARCH approach

Vu Thanh Hai; Tsui, Albert K.; Zhang, Zhaoyong - In: Applied economics 45 (2013) 19/21, pp. 2909-2914

Persistent link: https://www.econbiz.de/10010192361

GDP growth and the interdependency of volatility spillovers

Karunanayake, Indika; Valadkhani, Abbas; O'Brien, Martin - In: Australasian accounting business and finance journal : AABF 6 (2012) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10010244294

Interpreting fluctuations in output growth in China

Laurenceson, James - In: China economic journal : the official journal of the … 6 (2013) 1, pp. 12-20

Persistent link: https://www.econbiz.de/10010250764

Decline is US output growth volatility : a wavelet analysis

Lo Cascio, Iolanda - In: The Manchester School 81 (2013) 2, pp. 226-242

Persistent link: https://www.econbiz.de/10009755576

Long memory in UK real GDP, 1851 - 2013 : an ARFIMA-FIGARCH analysis

Caporale, Guglielmo Maria; Škare, Marinko - 2014

Persistent link: https://www.econbiz.de/10010402692

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