a shock, I calculated the volatility impulse response function based on a VAR(1) BEKK(1,1)-in-mean model. The result …

a shock, I calculated the volatility impulse response function based on a VAR(1) BEKK(1,1)-in-mean model. The result …

different market conditions. We use a general VAR-BEKK model and the volatility impulse response function methodology to analyze …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets …

Hafner and Herwartz (2006) analysis of multivariate GARCH models using volatility impulse response analysis. We use two sets …

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. HH's VIRF extends a …

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 …