15-089/III - Multivariate Volatility Impulse Response Analysis of GFC News Events

• Authors
  David E. Allen, University of Sydney, and University of South Australia, Australia; Michael McAleer, National Tsing Hua University, Taiwan, Erasmus University Rotterdam, the Netherlands, and Complutense University of Madrid, Spain; Robert Powell, Edith Cowan University; Abhay K. Singh, Edith Cowan University
• Publication date
  July 27, 2015

• Keywords
  Volatility impulse response functions (VIRF), BEKK, DBEKK, Asymmetry, GFC, ESDC
• JEL
  C22, C32, C58, G32