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16-084/III - Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events


  • Authors
    David E. Allen, University of Sidney, University of South Australia, Australia; Michael McAleer, National Tsing Hua University Taiwan; Erasmus School of Economics Erasmus University Rotterdam, The Netherlands; Yokohama National University, Japan; Robert Powell, Edith Cowan University, Perth, Australia; Abhay K. Singh, Edith Cowan University, Perth, Australia
  • Publication date
    October 14, 2016
  • Keywords
    Spillover Index, Volatility Impulse Response Functions (VIRF), BEKK, DBEKK, Asymmetry, GFC, ESDC
  • JEL
    C22, C32, C58, G32