Please use this identifier to cite or link to this item: https://doi.org/10.1016/S0922-1425(03)00026-4
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dc.titleAsymmetric volatility of real GDP: Some evidence from Canada, Japan, the United Kingdom and the United States
dc.contributor.authorHo, K.-Y.
dc.contributor.authorTsui, A.K.C.
dc.date.accessioned2011-02-24T06:55:40Z
dc.date.available2011-02-24T06:55:40Z
dc.date.issued2003
dc.identifier.citationHo, K.-Y., Tsui, A.K.C. (2003). Asymmetric volatility of real GDP: Some evidence from Canada, Japan, the United Kingdom and the United States. Japan and the World Economy 15 (4) : 437-445. ScholarBank@NUS Repository. https://doi.org/10.1016/S0922-1425(03)00026-4
dc.identifier.issn09221425
dc.identifier.urihttp://scholarbank.nus.edu.sg/handle/10635/20019
dc.description.abstractThe recent empirical investigation of conditional volatility in real GDP growth rates of Japan, the United Kingdom, and the United States by Hamori [Jpn. World Econ. 12 (2000) 143] finds no evidence of asymmetry. This paper re-visits the issue of asymmetric volatility using a similar approach with some modifications. We find statistically significant evidence of asymmetric volatility in the real growth rates of the United States and Canada. As such, it may be premature to conclude that business cycle indicators generally do not exhibit volatility asymmetry.©2003 Elsevier B.V. All rights reserved.
dc.description.urihttp://libproxy1.nus.edu.sg/login?url=http://dx.doi.org/10.1016/S0922-1425(03)00026-4
dc.sourceScopus
dc.subjectAsymmetric volatility
dc.subjectEGARCH model
dc.subjectReal growth rates
dc.typeArticle
dc.contributor.departmentECONOMICS
dc.description.doi10.1016/S0922-1425(03)00026-4
dc.description.sourcetitleJapan and the World Economy
dc.description.volume15
dc.description.issue4
dc.description.page437-445
dc.identifier.isiut000186240400005
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