expected earnings shock and its volatility, and establish properties of investor behavior on the stock price and its volatility … subsequent recovery. We assume that the earnings shock of an asset follows a random walk model with and without drift to … incorporate the impact of financial crises. We further assume the earning shock follows an exponential family distribution to take …

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 from the Oxford Man RV library, running from the beginning of 2000 to …) and the subsequent European Sovereign Debt Crisis (ESDC). The spillover index captures the transmission of volatility to …

using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock … 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 …

volatility clustering, as is typically the case for financial time series such as exchange rate returns. Our claim builds on … methods will yield power gains in the presence of fat tails and persistent volatility clustering, and the strength of these …