Volatility spillover and multivariate volatility impulse response analysis of GFC news events
David E. Allen, Michael McAleer, Robert Powell, Abhay K. Singh
| Year of publication: |
July 2017
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|---|---|
| Authors: | Allen, David E. ; McAleer, Michael ; Powell, Robert ; Singh, Abhay Kumar |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 49.2017, 31/33, p. 3246-3262
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| Subject: | Spillover index | Volatility impulse Response Functions (VIRF) | BEKK | DBEKK | asymmetry | GFC | ESDC | Volatilität | Volatility | ARCH-Modell | ARCH model | Spillover-Effekt | Spillover effect | Zeitreihenanalyse | Time series analysis | Schock | Shock | Kapitalmarktrendite | Capital market returns | Großbritannien | United Kingdom | Multivariate Analyse | Multivariate analysis | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2016.1257210 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011774739