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