Asymmetric volatility impulse response functions (Q2681836)

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Asymmetric volatility impulse response functions
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    Statements

    title
    Asymmetric volatility impulse response functions (English)
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    author
    Helmut Herwartz
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    Christian M. Hafner
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    publication date
    30 January 2023
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    zbMATH Keywords
    multivariate GARCH
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    leverage effect
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    volatility impulse response analysis
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    safe-haven
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    Identifiers

    zbMATH DE Number
    7647168
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