No. 230 - Asymmetries and Nonlinearities in Economie Activity

by Fabio Fornari and Antonio Mele
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This paper analyses the cyclical component of the industrial productions of three countries. A GARCH framework is employed to model the conditional variances of the cycles which are found to react asymmetrically to shocks of opposite sign; further, they present, in one case out of three, long- memory features. The ability of GARCH models at capturing all the heteroscedasticity of the data is tested against the null of deterministic chaos.

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  1. 31 August 1994
    No. 230 - Asymmetries and Nonlinearities in Economie Activity
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