Volatility dynamics of the US business cycle: A multivariate asymmetric GARCH approach.
Kin-Yip HoAlbert K. TsuiZhaoyong ZhangPublished in: Math. Comput. Simul. (2009)
Keyphrases
- garch model
- multivariate time series
- exchange rate
- stock market
- business models
- electronic commerce
- stock price
- business intelligence
- business process
- business processes
- dynamical systems
- data mining
- financial data
- information systems
- business innovation
- decision making
- sar images
- financial time series
- stock trading
- regression model
- knowledge management
- business environment
- short term
- heavy tailed
- return on investment
- real world
- categorical data
- neural network
- dynamic model
- dimension reduction
- enterprise architecture
- multivariate data
- turning points
- long term