Most empirical investigations of the business cycles in the United States have excluded the dimension of asymmetric conditional volatility. This paper analyses the volatility dynamics of the US business cycle by comparing the performance of various multivariate generalised autoregressive...

This paper analyses thé volatility dynamics of thé UK business cycle by proposing four new multivariate asymmetric GARCH models that not only capture asymmetric volatility but aso time-varying corrélations. The results indicate the existence of asymmetric volatility, but it is sensitive to...

We search for evidence of conditional volatility in the quarterly real GDP growth rates of three East Asian tigers: Singapore, Hong Kong and Taiwan. The widely accepted exponential GARCH-type model is used to capture the existence of asymmetric volatility and the potential structural break...