Search Results - subject:"volatility impulse response functions (VIRF)"

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

Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Allen, David E.; McAleer, Michael; Powell, Robert; … - 2016

Persistent link: https://www.econbiz.de/10011556166

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

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