Asymmetric volatility impulse response functions

被引：3
|
作者：
Hafner, Christian M. [1 ,2 ]
Herwartz, Helmut [3 ]
机构：
[1] Catholic Univ Louvain, Louvain Inst Data Anal & Modelling Econ & Stat, Louvain, Belgium
[2] Catholic Univ Louvain, ISBA, Louvain, Belgium
[3] Univ Gottingen, Dept Econ, Gottingen, Germany
来源：
ECONOMICS LETTERS | 2023年 / 222卷
关键词：
Multivariate GARCH; Leverage effect; Volatility impulse response analysis; Safe-haven; MULTIVARIATE GARCH MODELS;
D O I：
10.1016/j.econlet.2022.110968
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Volatility impulse response functions (VIRFs) have been introduced to unravel the effects of shocks on (co-)variances for the case of classical multivariate GARCH specifications. This paper proposes generalized VIRFs for the case of asymmetric specifications which capture stylized features such as the leverage effect. In a bivariate application comprising a global equity index and gold prices, we show that generalized VIRFs can be used to reassess the role of gold as a safe-haven asset.(c) 2022 Elsevier B.V. All rights reserved.
引用
收藏
页数：6
相关论文
共 50 条
  • [1] Volatility transmission and volatility impulse response functions in crude oil markets
    Jin, Xiaoye
    Lin, Sharon Xiaowen
    Tamvakis, Michael
    ENERGY ECONOMICS, 2012, 34 (06) : 2125 - 2134
  • [2] Volatility transmission and volatility impulse response functions in European electricity forward markets
    Le Pen, Yannick
    Sevi, Benoit
    ENERGY ECONOMICS, 2010, 32 (04) : 758 - 770
  • [3] Volatility transmission and volatility impulse response functions among the Greater China stock markets
    Jin, Xiaoye
    JOURNAL OF ASIAN ECONOMICS, 2015, 39 : 43 - 58
  • [4] Volatility transmission and volatility impulse response functions in the main and the satellite Renminbi exchange rate markets
    Funke, Michael
    Loermann, Julius
    Tsang, Andrew
    REVIEW OF INTERNATIONAL ECONOMICS, 2022, 30 (02) : 606 - 628
  • [5] Structural Volatility Impulse Response Analysis
    Fengler, Matthias R.
    Polivka, Jeannine
    JOURNAL OF FINANCIAL ECONOMETRICS, 2025, 23 (02)
  • [6] The relationship between energy and equity markets: Evidence from volatility impulse response functions
    Olson, Eric
    Vivian, Andrew J.
    Wohar, Mark E.
    ENERGY ECONOMICS, 2014, 43 : 297 - 305
  • [7] Testing the Effectiveness of Exchange Rate Channel in Turkey by Asymmetric Impulse-Response Functions
    Ozgur, Onder
    Gorus, Muhammed Sehid
    MALIYE DERGISI, 2018, (174): : 48 - 71
  • [8] Nonlinear impulse response functions
    Potter, SM
    JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2000, 24 (10): : 1425 - 1446
  • [9] Correlation impulse response functions
    Hafner, Christian M.
    Herwartz, Helmut
    FINANCE RESEARCH LETTERS, 2023, 57
  • [10] Volatility Spillover and Multivariate Volatility Impulse Response Analysis of GFC News Events
    Allen, David E.
    McAleer, Michael
    Powell, Robert
    Singh, Abhay K.
    PROCEEDINGS OF THE 2017 INTERNATIONAL CONFERENCE ON ECONOMICS, FINANCE AND STATISTICS (ICEFS 2017), 2017, 26 : 82 - 107
12345