Volatility spillover and multivariate volatility impulse response analysis of GFC news events
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 | Schock | Shock | Zeitreihenanalyse | Time series analysis | Kapitalmarktrendite | Capital market returns | Großbritannien | United Kingdom | Multivariate Analyse | Multivariate analysis | Spillover-Effekt | Spillover effect |
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