A volatility impulse response analysis applying multivariate GARCH models and news events around the GFC

Weber, T., McPhee, M.J. and Anderssen, R.S. (eds) MODSIM2015, 21st International Congress on Modelling and Simulation ◽

10.36334/modsim.2015.e4.allen ◽

2015 ◽

Keyword(s):

Impulse Response ◽

Multivariate Garch ◽

Garch Models ◽

Response Analysis ◽

Impulse Response Analysis ◽

News Events ◽

Multivariate Garch Models

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Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms

Journal of Forecasting ◽

10.1002/for.2648 ◽

2020 ◽

Vol 39 (5) ◽

pp. 788-796

Author(s):

David Gabauer

Keyword(s):

Impulse Response ◽

Garch Models ◽

Response Analysis ◽

Volatility Transmission ◽

Impulse Response Analysis ◽

Transmission Mechanisms

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Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events

Proceedings of the 2017 International Conference on Economics, Finance and Statistics (ICEFS 2017) ◽

10.2991/icefs-17.2017.9 ◽

2017 ◽

Author(s):

David Allen ◽

Michael McAleer ◽

Robert Powell ◽

Abhay Singh

Keyword(s):

Impulse Response ◽

Response Analysis ◽

Volatility Spillover ◽

Impulse Response Analysis ◽

News Events ◽

Multivariate Volatility

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Volatility spillover and multivariate volatility impulse response analysis of GFC news events

Applied Economics ◽

10.1080/00036846.2016.1257210 ◽

2016 ◽

Vol 49 (33) ◽

pp. 3246-3262 ◽

Cited By ~ 4

Author(s):

David E. Allen ◽

Michael McAleer ◽

Robert Powell ◽

Abhay K. Singh

Keyword(s):

Impulse Response ◽

Response Analysis ◽

Volatility Spillover ◽

Impulse Response Analysis ◽

News Events ◽

Multivariate Volatility

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Dynamic Principal Components: A New Class of Multivariate GARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.2559758 ◽

2015 ◽

Cited By ~ 1

Author(s):

Gian Piero Aielli ◽

Massimiliano Caporin

Keyword(s):

Principal Components ◽

Multivariate Garch ◽

Garch Models ◽

New Class ◽

Multivariate Garch Models

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Multivariate GARCH Models With Impulse Responses in Mean, Variance and Covariance

SSRN Electronic Journal ◽

10.2139/ssrn.957134 ◽

2006 ◽

Cited By ~ 5

Author(s):

Christos Ioannidis ◽

Julian M. Williams

Keyword(s):

Multivariate Garch ◽

Garch Models ◽

Impulse Responses ◽

Multivariate Garch Models ◽

Mean Variance

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Retinal mean transit time determined with an impulse-response analysis from video fluorescein angiograms

Acta Ophthalmologica Scandinavica ◽

10.1111/j.1600-0420.1997.tb00144.x ◽

2009 ◽

Vol 75 (5) ◽

pp. 532-536 ◽

Cited By ~ 12

Author(s):

G. O. Sperber ◽

A. Alm

Keyword(s):

Impulse Response ◽

Transit Time ◽

Mean Transit Time ◽

Response Analysis ◽

Impulse Response Analysis

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Additive Level Outliers in Multivariate GARCH Models

Springer Proceedings in Mathematics & Statistics - Topics in Statistical Simulation ◽

10.1007/978-1-4939-2104-1_24 ◽

2014 ◽

pp. 247-255 ◽

Cited By ~ 4

Author(s):

Aurea Grané ◽

Helena Veiga ◽

Belén Martín-Barragán

Keyword(s):

Multivariate Garch ◽

Garch Models ◽

Multivariate Garch Models

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Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.1810643 ◽

2012 ◽

Cited By ~ 3

Author(s):

Matthew Greenwood-Nimmo ◽

Yongcheol Shin

Keyword(s):

Impulse Response ◽

Response Analysis ◽

Impulse Response Analysis

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Measuring Spot Variance Spillovers When (Co)Variances are Time-Varying - The Case of Multivariate GARCH Models

SSRN Electronic Journal ◽

10.2139/ssrn.2800209 ◽

2016 ◽

Cited By ~ 1

Author(s):

Matthias R. Fengler ◽

Helmut Herwartz

Keyword(s):

Multivariate Garch ◽

Garch Models ◽

Time Varying ◽

Multivariate Garch Models

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Impulse response analysis in nonlinear multivariate models

Journal of Econometrics ◽

10.1016/0304-4076(95)01753-4 ◽

1996 ◽

Vol 74 (1) ◽

pp. 119-147 ◽

Cited By ~ 1653

Author(s):

Gary Koop ◽

M.Hashem Pesaran ◽

Simon M. Potter

Keyword(s):

Impulse Response ◽

Response Analysis ◽

Multivariate Models ◽

Impulse Response Analysis

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