Volatility impulse response analysis for DCC‐GARCH models: The role of volatility transmission mechanisms
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Forecasting"
DOI: 10.1002/for.2648
Abstract: This study introduces volatility impulse response functions (VIRF) for dynamic conditional correlation–generalized autoregressive conditional heteroskedasticity (DCC‐GARCH) models. In addition, the implications with respect to network analysis—using the connectedness approach of Diebold and Y ιlmaz (Journal… read more here.
Keywords: impulse response; volatility impulse; volatility; analysis ... See more keywords