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  • Search: subject:"Volatility impulse response functions (VIRF)"
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Year of publication
Subject
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BEKK 5 DBEKK 5 ESDC 5 GFC 5 ARCH model 3 ARCH-Modell 3 Asymmetry 3 Capital market returns 3 Großbritannien 3 Kapitalmarktrendite 3 Multivariate Analyse 3 Multivariate analysis 3 Schock 3 Shock 3 Time series analysis 3 United Kingdom 3 Volatility 3 Volatilität 3 Zeitreihenanalyse 3 Spillover Index 2 Spillover effect 2 Spillover-Effekt 2 asymmetry 2 volatility impulse response functions (VIRF) 2 Spillover index 1 USA 1 United States 1 Volatility Impulse Response Functions (VIRF) 1 Volatility impulse Response Functions (VIRF) 1 Volatility impulse response functions (VIRF) 1
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Online availability
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Free 4 Undetermined 1
Type of publication
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Book / Working Paper 4 Article 1
Type of publication (narrower categories)
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Working Paper 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 5
Author
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Allen, David E. 5 McAleer, Michael 5 Powell, Robert 5 Singh, Abhay Kumar 3 Singh, Abhay K. 2
Published in...
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Discussion paper / Tinbergen Institute 2 Tinbergen Institute Discussion Paper 2 Applied economics 1
Source
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ECONIS (ZBW) 3 EconStor 2
Showing 1 - 5 of 5
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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
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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
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 …
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
response functions (VIRF) provide information about the impact of independent shocks on volatility. HHś VIRF extends a … independent shocks on volatility through time, while avoiding typical orthogonalization and ordering problems. Volatility impulse …
Persistent link: https://www.econbiz.de/10011301206
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
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