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

We generalise the impulse response function of Elder (2003) by considering indirect volatility spillovers for a VAR model with multivariate GARCH-in-Mean. The extension is relevant for variables that exhibit direct and indirect volatility spillovers (Tsiaplias and Chua, in press).

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Year of publication:	2012
Authors:	Chua, Chew Lian ; Suardi, Sandy ; Tsiaplias, Sarantis
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 117.2012, 2, p. 452-454
Publisher:	Elsevier
Subject:	Multivariate GARCH \| Spillovers \| Latent factors \| Impulse response

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Type of publication:	Article
Classification:	G10 - General Financial Markets. General ; C32 - Time-Series Models ; C50 - Econometric Modeling. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011041720