GDP Growth and the Interdependency of Volatility Spillovers

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...

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Bibliographic Details
Main Authors: Martin O’Brien, Abbas Valadkhani, Indika Karunanayake
Format: Article
Language:English
Published: University of Wollongong 2012-03-01
Series:Australasian Accounting, Business and Finance Journal
Subjects:
GDP Volatility
MGARCH Models
Diagonal VECH Model
Constant Conditional Correlation Model
Online Access:http://ro.uow.edu.au/aabfj/vol6/iss1/14

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