An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks (Q1925944)
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scientific article; zbMATH DE number 6118443
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| English | An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks |
scientific article; zbMATH DE number 6118443 |
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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0.8598824739456177
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0.7700285315513611
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0.7700285315513611
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0.7448536157608032
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0.7420482039451599
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