An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
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Publication:1925944
DOI10.1016/j.econlet.2012.06.031zbMath1254.91574OpenAlexW2000492771MaRDI QIDQ1925944
Chew Lian Chua, Sarantis Tsiaplias, Sandy Suardi
Publication date: 27 December 2012
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.econlet.2012.06.031
Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)
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An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks, Estimación bayesiana de un Modelo Garch-M Bivariado
Cites Work
- An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
- An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
- Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
