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

Economics Letters

Volumn 79, Issue 1, 2003, Pages 21-26

  Elder, John ^a  

^a NORTH DAKOTA STATE UNIVERSITY   (United States)

Author keywords

Impulse response; Multivariate GARCH; VAR

Indexed keywords

EID: 0037400311     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(02)00283-5     Document Type: Article

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