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  • Search: subject:"volatility impulse response functions"
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Year of publication
Subject
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Volatility 8 Volatilität 8 ARCH model 7 ARCH-Modell 7 Time series analysis 7 Zeitreihenanalyse 7 BEKK 6 DBEKK 5 ESDC 5 GFC 5 Schock 5 Shock 5 volatility impulse response functions 5 Estimation 4 Multivariate Analyse 4 Multivariate analysis 4 Schätzung 4 Asymmetry 3 Capital market returns 3 Estimation theory 3 Großbritannien 3 Kapitalmarktrendite 3 Schätztheorie 3 Spillover effect 3 Spillover-Effekt 3 United Kingdom 3 VAR model 3 VAR-Modell 3 causality in volatility 3 multivariate GARCH models 3 proxy identification 3 structural identification 3 Causality analysis 2 Kausalanalyse 2 Spillover Index 2 Volatility impulse response functions 2 asymmetry 2 volatility impulse response functions (VIRF) 2 volatility spillovers 2 ARCH-BEKK 1
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Online availability
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Free 9 Undetermined 3
Type of publication
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Book / Working Paper 7 Article 5
Type of publication (narrower categories)
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Working Paper 6 Arbeitspapier 4 Article in journal 4 Aufsatz in Zeitschrift 4 Graue Literatur 4 Non-commercial literature 4
Language
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English 11 Undetermined 1
Author
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Allen, David E. 5 McAleer, Michael 5 Powell, Robert 5 Fengler, Matthias 3 Polivka, Jeannine 3 Singh, Abhay Kumar 3 Singh, Abhay K. 2 Funke, Michael 1 J. Vivian, Andrew 1 Loermann, Julius 1 Olson, Eric 1 Panopoulou, E. 1 Pantelidis, T. 1 Serletis, Apostolos 1 Tsang, Andrew 1 Wohar, Mark E. 1 Xu, Libo 1
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Institution
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Department of Economics, National University of Ireland 1
Published in...
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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 Research paper series / Swiss Finance Institute 1 Review of international economics 1 The North American journal of economics and finance : a journal of financial economics studies 1
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Source
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ECONIS (ZBW) 8 EconStor 2 RePEc 2
Showing 1 - 10 of 12
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2025
Persistent link: https://www.econbiz.de/10015339180
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2024
Persistent link: https://www.econbiz.de/10015130707
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Structural volatility impulse response analysis
Fengler, Matthias; Polivka, Jeannine - 2022
Persistent link: https://www.econbiz.de/10013399810
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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
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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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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
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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
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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
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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
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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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