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The Correlation between Shocks to Output and the Price Level: Evidence from a Multivariate GARCH Model
16 references·1 citing·49 second hop
The Correlation between Shocks to Output and the Price Level: Evidence from a Multivariate GARCH Model (2003)The Correlation between Shocks to Output …Output Fluctuations in the United States: What Has Changed Since the Early 1980s? (2006)Output Fluctuations in the Un…Modeling Asymmetric Comovements of Asset Returns (1998)Modeling Asymmetric Comovemen…Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag (1995)Unit Root Tests in ARMA Model…Real Business Cycles: A New Keynesian Perspective (1995)Real Business Cycles: A New K…Multivariate Simultaneous Generalized ARCH (1995)Multivariate Simultaneous Gen…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…The cyclical behavior of prices (1991)The cyclical behavior of pric…International Evidence on the Historical Properties of Business Cycles (1991)International Evidence on the…Lectures on macroeconomics (1990)Lectures on macroeconomicsBusiness Cycles: Real Facts and a Monetary Myth (1990)Business Cycles: Real Facts a…The Dynamic Effects of Aggregate Demand and Supply Disturbances (1988)The Dynamic Effects of Aggreg…Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867-1975 (1982)Monetary Trends in the United…Nobel Lecture: Inflation and Unemployment (1977)Nobel Lecture: Inflation and …Business Cycles and National Income (1952)Business Cycles and National …Measuring Business Cycles. (1948)Measuring Business Cycles.Output Fluctuations in the United States: What Has Changed since the Early 1980's?Output Fluctuations in the Un…Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach (2004)Analysis of real GDP growth r…Aggregate Dynamics and Staggered Contracts (1980)Trends and random walks in macroeconomic time series (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Impulse response analysis in nonlinear multivariate models (1996)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)What are the effects of monetary policy on output? Results from an agnostic identification procedure (2005)A Monetary History of the United States 1867-1960 (1964)A Monetary History of the United States, 1867-1960 (1964)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Inflation crises and long-run growth (1998)Beyond carbon pricing: The role of banking and monetary policy in financing the transition to a low-carbon economy (2016)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Dynamic Conditional Correlation (2002)Modeling and Forecasting Realized Volatility (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Asymmetric correlations of equity portfolios (2002)International Asset Allocation With Regime Shifts (2002)Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns (2006)Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order (1984)Further evidence on breaking trend functions in macroeconomic variables (1997)Testing for unit roots in heterogeneous panels (2003)Testing for Error Correction in Panel Data* (2007)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Some International Evidence on Output-Inflation Tradeoffs. (1973)Anticipated inflation and the capital stock in a cash in-advance economy (1981)An empirical analysis of cross-national economic growth, 1951–1980 (1989)The Role of Monetary Policy (1995)Current Real Business Cycle Theories and Aggregate Labor Market Fluctuations (1990)Tastes and Technology in a Two-Country Model of the Business Cycle : Explaining International Co-Movements (1990)International Real Business Cycles (1992)International comovement of stock market returns: A wavelet analysis (2009)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)What is an Oil Shock? (2000)Have Individual Stocks Become More Volatile? 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References

  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1995Multivariate Simultaneous Generalized ARCH4,510 cited
  • 1988The Dynamic Effects of Aggregate Demand and Supply Disturbances3,940 cited
  • n.d.Output Fluctuations in the United States: What Has Changed since the Early 1980's?1,867 cited
  • 1977Nobel Lecture: Inflation and Unemployment1,800 cited
  • 1998Modeling Asymmetric Comovements of Asset Returns1,588 cited
  • 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag1,459 cited
  • 1990Lectures on macroeconomics1,389 cited
  • 1991International Evidence on the Historical Properties of Business Cycles823 cited
  • 1990Business Cycles: Real Facts and a Monetary Myth812 cited
  • 2006Output Fluctuations in the United States: What Has Changed Since the Early 1980s?597 cited
  • 1948Measuring Business Cycles.563 cited
  • 1982Monetary Trends in the United States and the United Kingdom: Their Relation to Income, Prices, and Interest Rates, 1867-1975373 cited
  • 1995Real Business Cycles: A New Keynesian Perspective280 cited
  • 1991The cyclical behavior of prices

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249 cited
  • 1952Business Cycles and National Income226 cited
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    • 2004Analysis of real GDP growth rates of greater China: An asymmetric conditional volatility approach24 cited