An Impulse-Response Function for a Vector Autoregression with Multivariate-Garch-In-Mean

This paper derives an analytical expression for an impulse-response function for a vector autoregression with multivariate GARCH errors, where the vector of conditional means is a function of the conditional variances. We also provide the appropriate interpretation of an impulse-response function for such models and suggest interesting empirical issues that can be addressed within this framework

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Year of publication:	2010
Authors:	Elder, John
Publisher:	[S.l.] : SSRN
Subject:	VAR-Modell \| VAR model \| Theorie \| Theory
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource (10 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 79, No. 1, 2003 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 9, 2002 erstellt Volltext nicht verfügbar
Classification:	C32 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014216814