GDP Growth and the Interdependency of Volatility Spillovers
This paper examines the dynamics of cross-country GDP volatility transmission and their conditional correlations. We use quarterly data (1961-2008) for Australia, Canada, the UK and the US to construct and estimate a multivariate generalised autoregressive conditional heteroskedasticity (MGARCH) mod...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Wollongong
2012-03-01
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| Series: | Australasian Accounting, Business and Finance Journal |
| Subjects: | |
| Online Access: | http://ro.uow.edu.au/aabfj/vol6/iss1/14 |