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

Economics Letters

Volumn 117, Issue 2, 2012, Pages 452-454

  Chua, Chew Lian ^a   Suardi, Sandy ^b   Tsiaplias, Sarantis ^c  

^a UNIVERSITY OF MELBOURNE   (Australia)

^b LA TROBE UNIVERSITY   (Australia)

^c Predictive Analytics Group   (Australia)

Author keywords

Impulse response; Latent factors; Multivariate GARCH; Spillovers

Indexed keywords

EID: 84863739077     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.econlet.2012.06.031     Document Type: Article

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