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14-106/III - Volatility Spillovers from Australia's Major Trading Partners across the GFC

  • Authors
    David E. Allen, The University of Sydney, Australia; Michael McAleer, Erasmus University Rotterdam, the Netherlands; National Tsing Hua University Hsinchu, National Chung Hsing University, Taiwan; Complutense University of Madrid, Spain; Robert J. Powell, Edith Cowan University, Australia; Abhay K. Singh, Edith Cowan University, Australia
  • Publication date
    August 14, 2014
  • Keywords
    Volatility Spillover Index, VAR analysis, Variance Decomposition, Cholesky-GARCH
  • JEL
    C58, G12