Ebell, Monique C. - 2001 - First version: December 4, 1999, [This version:] April 26, 2001
During recessions, many macroeconomic variables display higher levels of volatility. We show how introducing an AR(1 … greater volatility of asset returns during recessions. In particular, agents' joint forecasting of levels and time …-varing second moments transforms symmetric-volatility driving processes into asymmetric-volatility endogenous variables. Moreover …
