370
Views
3
CrossRef citations to date
0
Altmetric
Original Articles

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

, &
Pages 2909-2914 | Published online: 11 Jun 2012

References

  • Andreano , MS and Savio , G . 2002 . Further evidence on business cycle asymmetries in G7 countries . Applied Economics , 34 : 895 – 904 .
  • Baillie , R , Chung , CF and Tieslau , M . 1996 . Analyzing inflation by the fractionally integrated ARFIMA-GARCH model . Journal of Applied Econometrics , 11 : 23 – 40 .
  • Bodman , P . 2009 . Output volatility in Australia . Applied Economics , 41 : 3117 – 29 .
  • Bollerslev , T . 1986 . Generalized autoregressive conditional heteroskedasticity . Journal of Econometrics , 31 : 307 – 27 .
  • Bollerslev , T . 1990 . Modelling the coherence in short-run nominal exchange rates: a multivariate generalised ARCH model . Review of Economics and Statistics , 72 : 498 – 505 .
  • Bredin , D , Elder , J and Fountas , S . 2009 . Macroeconomic uncertainty and performance in Asian countries . Review of Development Economics , 13 : 215 – 29 .
  • Brunner , A . 1997 . On the dynamic properties of asymmetric models of real GNP . Review of Economics and Statistics , 79 : 321 – 6 .
  • Engle , RF . 1982 . Autoregressive conditional heteroskedasticity with estimates of the variance of the UK inflation . Econometrica , 50 : 987 – 1008 .
  • Engle , RF , Granger , CWJ and Kraft , D . 1984 . Combining competing forecasts of inflation using a bivariate ARCH model . Journal of Economic Dynamics and Control , 8 : 151 – 65 .
  • Engle , RF and Kroner , KF . 1995 . Multivariate simultaneous generalized ARCH . Econometric Theory , 11 : 122 – 50 .
  • French , MW and Sichel , D . 1993 . Cyclical patterns in the variance of economic activity . Journal of Business and Economic Statistics , 11 : 113 – 19 .
  • Grier , K , Henry , O , Olekalns , N and Shields , K . 2004 . The asymmetric effects of uncertainty on inflation and output growth . Journal of Applied Econometrics , 19 : 551 – 65 .
  • Grier , K and Perry , M . 1998 . On inflation and inflation uncertainty in the G7 countries . Journal of International Money and Finance , 17 : 671 – 89 .
  • Grier , K and Perry , M . 2000 . The effects of real and nominal uncertainty on inflation and output growth: some GARCH-M evidence . Journal of Applied Econometrics , 15 : 45 – 58 .
  • Ho , KY and Tsui , AKC . 2003 . Asymmetric volatility of real GDP: some evidence from Canada, Japan, the United Kingdom and the United States . Japan and the World Economy , 15 : 437 – 45 .
  • Ho , KY and Tsui , AK . 2004 . Analysis of real GDP growth rates of greater China: an asymmetric conditional volatility approach . China Economic Review , 15 : 424 – 42 .
  • Inclán , C and Tiao , GC . 1994 . Use of cumulative sums of squares for retrospective detection of changes of variance . Journal of the American Statistical Association , 89 : 913 – 23 .
  • Nelson , DB . 1991 . Conditional heteroskedasticity in asset returns: a new approach . Econometrica , 59 : 347 – 70 .
  • Peel , DA and Speight , AEH . 1996 . Is the US business cycle asymmetric? Some further evidence . Applied Economics , 28 : 405 – 15 .
  • Sansó , A , Arragó , V and Carrion , JL . 2004 . Testing for change in the unconditional variance of financial time series . Revista de Economiá Financiera , 4 : 32 – 53 .
  • Tse , YK and Tsui , AKC . 2002 . A multivariate generalized autoregressive conditional heteroskedasticity model with time-varying correlations . Journal of Business and Economic Statistics , 20 : 351 – 62 .
  • Zhang , ZY , Xu , X and Zhang , WB . 2003 . The dynamics of political and economic interactions between Mainland China and Taiwan . Papers in Regional Science , 82 : 373 – 88 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.