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