Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
HH approach is that it involves a novel application of the concept of impulse response functions, tracing the effects of … response functions (VIRF) provide information about the impact of independent shocks on volatility. HH's VIRF extends a … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse …