An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
type: Item
instance of: scholarly article
title: An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
zbMATH Open document ID: 1254.91574
author: Chew Lian Chua
author: Sandy Suardi
author: Sarantis Tsiaplias
published in: Economics Letters
publication date: 2012-12-27T00:00:00Z
Mathematics Subject Classification ID: 91B82
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 6118443
zbMATH Keywords: multivariate GARCH
zbMATH Keywords: spillovers
zbMATH Keywords: latent factors
zbMATH Keywords: impulse response
MaRDI profile type: Publication
full work available at URL: j.econlet.2012.06.031
OpenAlex ID: W2000492771
cites work: Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion
cites work: An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
DOI: 10.1016/J.ECONLET.2012.06.031
description: scientific article; zbMATH DE number 6118443