An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks (Q1925944): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/j.econlet.2012.06.031 / rank | |||
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| Property / OpenAlex ID: W2000492771 / rank | |||
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| Property / cites work: Market linkages, variance spillovers, and correlation stability: empirical evidence of financial contagion / rank | |||
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| Property / cites work: An impulse-response function for a vector autoregression with multivariate GARCH-in-mean / rank | |||
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| Property / cites work: An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks / rank | |||
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Latest revision as of 00:06, 6 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks |
scientific article |
Statements
An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks (English)
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27 December 2012
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multivariate GARCH
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spillovers
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latent factors
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impulse response
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