Multivariate volatility impulse response analysis of GFC news events

David E. Allen (School of Mathematics and Statistics, University of Sydney and School of Business, University of South Australia, Michael McAleer (Department of Quantitative Finance, National Tsing Hua University, Taiwan and Econometric Institute, Erasmus School of Economics, Erasmus University of Rotterdam, The Netherlands and Tinbergen Institute, The Netherlands and Department of Quantitative University of Madrid, Spain), Robert Powell (School of Business, Edith Cowan University, Perth, Australia), Abhay K. Singh (School of Business, Edith Cowan University, Perth, Australia)