Volatility dynamics of the UK business cycle: A multivariate asymmetric garch approach (notice n° 593997)
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| fixed length control field | 02247cam a2200289 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121150729.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Ho, Kin-Yip |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Volatility dynamics of the UK business cycle: A multivariate asymmetric garch approach |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2009.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 19 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | RésuméCet article étudie la dynamique de la volatilité du cycle au Royaume-Uni. À cette fin, l’étude s’appuie sur quatre nouveaux modèles GARCH multivariés qui prennent en compte non seulement le caractère asymétrique de la volatilité, mais aussi les corrélations variant dans le temps. Les résultats montrent que la volatilité est asymétrique, mais sensible à la structure de la variance conditionnelle. Les corrélations et la volatilité sont en général plus élevées au cours de la phase de récession. Ces différents points ont des conséquences importantes en matière de politique macroéconomique et de prévision faites sur le cycle.Classification JEL : E32 ; E37. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper analyses the volatility dynamics of the UK business cycle by proposing four new multivariate asymmetric GARCH models that not only capture asymmetric volatility but also time-varying correlations. The results indicate the existence of asymmetric volatility, but it is sensitive to the structure of the conditional variance. It is also found that correlations and volatility are usually higher around the recession phase of the UK economy. These have important implications for macroeconomic policy and forecasting for business cycle. JEL Classification: E32; E37. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | corrélations variant dans le temps |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | corrélations constantes |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | asymétrie du cycle |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | GARCH asymétrique multivarié |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | business cycle asymmetries |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | time-varying correlations |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | multivariate asymmetric GARCH |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | constant correlations |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Tsui, Albert K. |
| Relator term | author |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Zhang, Zhaoyong |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Économie internationale | 117 | 1 | 2009-10-19 | p. 31-46 | 1240-8093 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/revue-economie-internationale-2009-1-page-31?lang=en&redirect-ssocas=7080">https://shs.cairn.info/revue-economie-internationale-2009-1-page-31?lang=en&redirect-ssocas=7080</a> |
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