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Search: subject:"Volatility impulse response"
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Volatility
8
Volatilität
8
Time series analysis
7
Zeitreihenanalyse
7
ARCH model
6
ARCH-Modell
6
Schock
6
Shock
6
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5
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volatility impulse response functions
5
BEKK
4
DBEKK
4
ESDC
4
Estimation
4
GFC
4
Schätzung
4
Spillover Index
4
Asymmetry
3
Capital market returns
3
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3
Kapitalmarktrendite
3
Multivariate Analyse
3
Multivariate analysis
3
Schätztheorie
3
Spillover effect
3
Spillover-Effekt
3
causality in volatility
3
multivariate GARCH models
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proxy identification
3
structural identification
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Agricultural commodity spot markets
2
BEKK in mean
2
Causality analysis
2
Großbritannien
2
Kausalanalyse
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United Kingdom
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Allen, David E.
4
McAleer, Michael
4
Powell, Robert
4
Fengler, Matthias
3
Polivka, Jeannine
3
Ali, Faek Menla
2
Bernhardt, Matthias
2
Eraslan, Sercan
2
Singh, Abhay K.
2
Singh, Abhay Kumar
2
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1
Green, Rikard
1
Larsson, Karl
1
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1
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PEN, Yannick LE
1
Panopoulou, E.
1
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SEVI, Benoît
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ECONIS (ZBW)
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EconStor
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1
Structural
volatility
impulse
response
analysis
Fengler, Matthias
;
Polivka, Jeannine
-
2025
Persistent link: https://www.econbiz.de/10015339180
Saved in:
2
Structural
volatility
impulse
response
analysis
Fengler, Matthias
;
Polivka, Jeannine
-
2024
Persistent link: https://www.econbiz.de/10015130707
Saved in:
3
Structural
volatility
impulse
response
analysis
Fengler, Matthias
;
Polivka, Jeannine
-
2022
Persistent link: https://www.econbiz.de/10013399810
Saved in:
4
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:
5
Oil price shocks and stock return volatility: New evidence based on
volatility
impulse
response
analysis
Eraslan, Sercan
;
Ali, Faek Menla
-
2018
We use
volatility
impulse
response
analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the …
Persistent link: https://www.econbiz.de/10011904462
Saved in:
6
Oil price shocks and stock return volatility : new evidence based on
volatility
impulse
response
analysis
Eraslan, Sercan
;
Ali, Faek Menla
-
2018
We use
volatility
impulse
response
analysis estimated from the bivariate GARCH-BEKK model to quantify the size and the …
Persistent link: https://www.econbiz.de/10011903691
Saved in:
7
Dynamic volatility behaviour in agricultural commodity markets: Evidence from VIRF analysis and spillover index calculations
Bernhardt, Matthias
-
2017
a shock, I calculated the
volatility
impulse
response
function based on a VAR(1) BEKK(1,1)-in-mean model. The result …
Persistent link: https://www.econbiz.de/10011927205
Saved in:
8
Dynamic volatility behaviour in agricultural commodity markets : evidence from VIRF analysis and spillover index calculations
Bernhardt, Matthias
-
2017
a shock, I calculated the
volatility
impulse
response
function based on a VAR(1) BEKK(1,1)-in-mean model. The result …
Persistent link: https://www.econbiz.de/10011761775
Saved in:
9
Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
Green, Rikard
;
Larsson, Karl
;
Lunina, Veronika
; …
-
2016
different market conditions. We use a general VAR-BEKK model and the
volatility
impulse
response
function methodology to analyze …
Persistent link: https://www.econbiz.de/10013208746
Saved in:
10
Volatility Spillover and Multivariate
Volatility
Impulse
Response
Analysis of GFC News Events
Allen, David E.
;
McAleer, Michael
;
Powell, Robert
; …
-
2016
Hafner and Herwartz (2006) analysis of multivariate GARCH models using
volatility
impulse
response
analysis. We use two sets …
Persistent link: https://www.econbiz.de/10011586699
Saved in:
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