Add to ORKGThis paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models using volatility impulse response analysis. The data set features ten years of daily returns series for the New York Stock Exchange Index and the FTSE 100 index from the London Stock Exchange, from 3 January 2005 to 31 January 2015. This period capture
We study financial volatility during the global financial crisis and use the largest volatility shoc...
Correlation, volatility, and covariance are three important metrics of financial risk. They are key ...
This thesis contributes four essays to the economic literature on the multivariate modeling of the v...
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multiva...
textabstractThis paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysi...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
textabstractThis article applies two measures to assess spillovers across markets: the Diebold and Y...
In the empirical analysis of financial time series, multivariate GARCH models have been used in vari...
In the empirical analysis of financial time series, multivariate GARCH models have been used in vari...
This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlati...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
In this paper, we extend the concept of the news impact curve of volatility developed by Engle and N...
Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of ret...
We study financial volatility during the global financial crisis and use the largest volatility shoc...
Correlation, volatility, and covariance are three important metrics of financial risk. They are key ...
This thesis contributes four essays to the economic literature on the multivariate modeling of the v...
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multiva...
textabstractThis paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysi...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
This paper applies two measures to assess spillovers across markets: the Diebold Yilmaz (2012) Spill...
textabstractThis article applies two measures to assess spillovers across markets: the Diebold and Y...
In the empirical analysis of financial time series, multivariate GARCH models have been used in vari...
In the empirical analysis of financial time series, multivariate GARCH models have been used in vari...
This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlati...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
We examine how the most prevalent stochastic properties of key financial time series have been affec...
In this paper, we extend the concept of the news impact curve of volatility developed by Engle and N...
Using daily data from March 2001 to June 2005, we estimate a VAR-BEKK model and find evidence of ret...
We study financial volatility during the global financial crisis and use the largest volatility shoc...
Correlation, volatility, and covariance are three important metrics of financial risk. They are key ...
This thesis contributes four essays to the economic literature on the multivariate modeling of the v...