An impulse-response function for a vector autoregression with multivariate GARCH-in-mean

DOI10.1016/S0165-1765(02)00283-5zbMath1254.91580OpenAlexW2033257657MaRDI QIDQ1925982

John Elder

Publication date: 27 December 2012

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

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00283-5

zbMATH Keywords

VARmultivariate GARCHimpulse-response

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Related Items (1)

An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks

Cites Work

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