Fang, Wen-Shwo; Miller, Stephen M.; Lee, Chun-Shen - 2009
This paper revisits the issue of conditional volatility in real GDP growth rates for Canada, Japan, the United Kingdom … volatility. The evidence shows that the time-varying variance falls sharply in Canada, Japan, and the U.K. and disappears in the … U.S., excess kurtosis vanishes in Canada, Japan, and the U.S. and drops substantially in the U.K., once we incorporate …
