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15-089/III - Multivariate Volatility Impulse Response Analysis of GFC News Events


  • Authors
    David E. Allen, University of Sydney, and University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, and Complutense University of Madrid, Spain; Robert Powell, Edith Cowan University; Abhay K. Singh, Edith Cowan University
  • Publication date
    July 27, 2015
  • Keywords
    Volatility impulse response functions (VIRF), BEKK, DBEKK, Asymmetry, GFC, ESDC
  • JEL
    C22, C32, C58, G32