Asset prices and output growth volatility: the effects of financial crises

DOI10.1016/S0165-1765(02)00289-6zbMath1254.91570OpenAlexW2030097605MaRDI QIDQ1925985

Guglielmo Maria Caporale, Nicola Spagnolo

Publication date: 27 December 2012

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00289-6

zbMATH Keywords

volatilitystock pricesoutput growthfinancial crisesmultivariate GARCH

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• On a measure of lack of fit in time series models
• Optimal horizons for inflation targeting

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