Title of article
The comovement between output and prices: Evidence from a dynamic conditional correlation GARCH model
Author/Authors
Jim Lee، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
7
From page
110
To page
116
Abstract
Estimation results based on a multivariate dynamic conditional correlation GARCH model reveal that the overall price level tended to move in the same direction as output in periods before World War II but in the opposite direction after the war.
Keywords
Conditional correlation , GARCH , Comovement
Journal title
Economics Letters
Serial Year
2006
Journal title
Economics Letters
Record number
435907
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