TY  - RPRT
AU  - Allen, David E.
AU  - McAleer, Michael
AU  - Powell, Robert J.
AU  - Singh, Abhay K.
PY  - 2016
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/22863
AB  - 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...
LA  - eng
KW  - Spillover Index
KW  - Volatility Impulse Response Functions (VIRF)
KW  - BEKK
KW  - DBEKK
KW  - Asymmetry
KW  - GFC
KW  - ESDC.
TI  - Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
TY  - technical report
VL  - 2016
ER  -