TY  - RPRT
AU  - Allen, David E.
AU  - McAleer, Michael
AU  - Powell, Robert J.
AU  - Singh, Abhay K.
PY  - 2015
SN  - 2341-2356
UR  - https://hdl.handle.net/20.500.14352/27515
AB  - This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange...
LA  - eng
KW  - Volatility impulse response functions (VIRF)
KW  - BEKK
KW  - DBEKK
KW  - Asymmetry
KW  - GFC
KW  - ESDC.
TI  - Multivariate Volatility Impulse Response Analysis of GFC News Events
TY  - technical report
VL  - 2015
ER  -