This paper investigates the volatility of the rates of output growth for the U.S., Canada and the UK. We empirically characterize the volatility of the growth rate of real GDP and, at the same time, we hope we can successfully identify business cycle turning points. The empirical results show...

This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our...

This paper employs a Markov Switching Panel model to measure business cycle turning points in Japan. This Markov Switching Panel model is simple and can easily be estimated following Hamilton's [J.D. Hamilton, A new approach to the economic analysis of nonstationary time series and the business...