Multivariate volatility impulse response analysis of GFC news events
Year of publication: |
2015
|
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Authors: | Allen, David E. ; McAleer, Michael ; Powell, Robert ; Singh, Abhay K. |
Publisher: |
Rotterdam [u.a.] : Tinbergen Inst. |
Subject: | volatility impulse response functions (VIRF) | BEKK | DBEKK | asymmetry | GFC | ESDC | Kapitalmarktrendite | Capital market returns | Schock | Shock | Multivariate Analyse | Multivariate analysis | ARCH-Modell | ARCH model | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | USA | United States | Großbritannien | United Kingdom |
Extent: | Online-Ressource (26 S.) graph. Darst. |
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Series: | Discussion paper / Tinbergen Institute. - Rotterdam [u.a.] : [Verlag nicht ermittelbar], ISSN 0929-0834, ZDB-ID 2435783-2. - Vol. 2015-089 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Notes: | Systemvoraussetzungen: PDF Reader |
Other identifiers: | hdl:10419/125086 [Handle] |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; c58 ; G32 - Financing Policy; Capital and Ownership Structure |
Source: | ECONIS - Online Catalogue of the ZBW |
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