An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
type: Item
instance of: scholarly article
title: An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
zbMATH Open document ID: 1254.91580
DOI: 10.1016/S0165-1765(02)00283-5
author: John Elder
published in: Economics Letters
publication date: 2012-12-27T00:00:00Z
Mathematics Subject Classification ID: 91B82
zbMATH DE Number: 6118488
zbMATH Keywords: multivariate GARCH
zbMATH Keywords: VAR
zbMATH Keywords: impulse-response
MaRDI profile type: Publication
cites work: Q4840212
full work available at URL: s0165-1765(02)00283-5
OpenAlex ID: W2033257657
Recommended article: An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
Recommended article: The impulse response function of the long memory GARCH process
Recommended article: On the parametrization of multivariate GARCH models
Recommended article: Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
Recommended article: The impact of general non-parametric volatility functions in multivariate GARCH models
Recommended article: A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
Recommended article: Generalized impulse response analysis in a fractionally integrated vector autoregressive model
Recommended article: Feasible generalized least squares estimation of multivariate GARCH(1,1) models
description: scientific article; zbMATH DE number 6118488