Asymmetric volatility impulse response functions

DOI10.1016/j.econlet.2022.110968OpenAlexW4312221642MaRDI QIDQ2681836

Helmut Herwartz, Christian M. Hafner

Publication date: 30 January 2023

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110968

zbMATH Keywords

leverage effectmultivariate GARCHvolatility impulse response analysissafe-haven

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• BEKKs

Cites Work

• Stationarity and geometric ergodicity of BEKK multivariate GARCH models
• On asymptotic theory for multivariate GARCH models
• Asymptotic theory for multivariate GARCH processes.
• Identification of structural multivariate GARCH models
• Handbook of Volatility Models and Their Applications

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