An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks (Q1925944)
From MaRDI portal
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)
0 references
27 December 2012
0 references
multivariate GARCH
0 references
spillovers
0 references
latent factors
0 references
impulse response
0 references
