EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Research Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Volatility impulse response functions"
Narrow search

Narrow search

Year of publication
Subject
All
ARCH model 6 ARCH-Modell 6 BEKK 6 Volatility 6 Volatilität 6 DBEKK 5 ESDC 5 GFC 5 Time series analysis 4 Zeitreihenanalyse 4 Asymmetry 3 Capital market returns 3 Großbritannien 3 Kapitalmarktrendite 3 Multivariate Analyse 3 Multivariate analysis 3 Schock 3 Shock 3 Spillover effect 3 Spillover-Effekt 3 United Kingdom 3 VAR model 3 VAR-Modell 3 volatility impulse response functions 3 Estimation 2 Schätzung 2 Spillover Index 2 Volatility impulse response functions 2 asymmetry 2 volatility impulse response functions (VIRF) 2 volatility spillovers 2 ARCH-BEKK 1 Bank 1 China 1 Commodity market 1 Conditional correlation 1 Dynamic hedge ratios 1 Equity index 1 Estimation theory 1 Exchange rate 1
more ... less ...
Online availability
All
Free 7 Undetermined 3
Type of publication
All
Book / Working Paper 6 Article 4
Type of publication (narrower categories)
All
Working Paper 5 Arbeitspapier 3 Article in journal 3 Aufsatz in Zeitschrift 3 Graue Literatur 3 Non-commercial literature 3
Language
All
English 9 Undetermined 1
Author
All
Allen, David E. 5 McAleer, Michael 5 Powell, Robert 5 Singh, Abhay K. 4 Fengler, Matthias 1 Funke, Michael 1 J. Vivian, Andrew 1 Loermann, Julius 1 Olson, Eric 1 Panopoulou, E. 1 Pantelidis, T. 1 Polivka, Jeannine 1 Serletis, Apostolos 1 Singh, Abhay Kumar 1 Tsang, Andrew 1 Wohar, Mark E. 1 Xu, Libo 1
more ... less ...
Institution
All
Department of Economics, National University of Ireland 1
Published in...
All
Discussion paper / Tinbergen Institute 2 Tinbergen Institute Discussion Paper 2 Applied economics 1 Discussion paper / Universität Sankt Gallen, School of Economics and Political Science, Department of Economics 1 Economics, Finance and Accounting Department Working Paper Series 1 Energy Economics 1 Review of international economics 1 The North American journal of economics and finance : a journal of financial economics studies 1
more ... less ...
Source
All
ECONIS (ZBW) 6 EconStor 2 RePEc 2
Showing 1 - 10 of 10
Cover Image
Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
Funke, Michael; Loermann, Julius; Tsang, Andrew - In: Review of international economics 30 (2022) 2, pp. 606-628
Persistent link: https://www.econbiz.de/10013185780
Saved in:
Cover Image
Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2022
Persistent link: https://www.econbiz.de/10013399810
Saved in:
Cover Image
Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...
Persistent link: https://www.econbiz.de/10011586699
Saved in:
Cover Image
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spillover Index and the Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets of data, daily realized volatility estimates taken...
Persistent link: https://www.econbiz.de/10011556166
Saved in:
Cover Image
Multivariate Volatility Impulse Response Analysis of GFC News Events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse … response functions (VIRF) provide information about the impact of independent shocks on volatility. HH's VIRF extends a …
Persistent link: https://www.econbiz.de/10011403543
Saved in:
Cover Image
Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse … response functions (VIRF) provide information about the impact of independent shocks on volatility. HHś VIRF extends a …
Persistent link: https://www.econbiz.de/10011301206
Saved in:
Cover Image
The demand for banking and shadow banking services
Serletis, Apostolos; Xu, Libo - In: The North American journal of economics and finance : a … 47 (2019), pp. 132-146
Persistent link: https://www.econbiz.de/10012117824
Saved in:
Cover Image
Volatility spillover and multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Applied economics 49 (2017) 31/33, pp. 3246-3262
Persistent link: https://www.econbiz.de/10011774739
Saved in:
Cover Image
The relationship between energy and equity markets: Evidence from volatility impulse response functions
Olson, Eric; J. Vivian, Andrew; Wohar, Mark E. - In: Energy Economics 43 (2014) C, pp. 297-305
time varying conditional correlations and time varying dynamic hedge ratios. From volatility impulse response functions, we …This paper examines the relationship between the energy and equity markets by estimating volatility impulse response … functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the …
Persistent link: https://www.econbiz.de/10011100076
Saved in:
Cover Image
Integration at a cost: Evidence from volatility impulse response functions
Panopoulou, E.; Pantelidis, T. - Department of Economics, National University of Ireland - 2005
We investigate the international information transmission between the U.S. and the rest of the G-7 countries using daily stock market return data covering the last 20 years. A pre-1995 and post- 1995 analysis reveals that the linkages between the markets have changed substantially in the more...
Persistent link: https://www.econbiz.de/10005424471
Saved in:
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...