Measuring asymmetry and persistence in conditional volatility in real output : evidence from three East Asian tigers using a multivariate GARCH approach
Year of publication: |
2013
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Authors: | Vu Thanh Hai ; Tsui, Albert K. ; Zhang, Zhaoyong |
Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 45.2013, 19/21, p. 2909-2914
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Subject: | East Asian tigers | real output | GARCH | structural changes | persistence | asymmetric volatility | Volatilität | Volatility | ARCH-Modell | ARCH model | Bruttoinlandsprodukt | Gross domestic product | Ostasien | East Asia | Südkorea | South Korea | Schätzung | Estimation | Wirtschaftswachstum | Economic growth | Nationaleinkommen | National income | Zeitreihenanalyse | Time series analysis |
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