An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
From MaRDI portal
Publication:1925982
DOI10.1016/S0165-1765(02)00283-5zbMATH Open1254.91580OpenAlexW2033257657MaRDI QIDQ1925982FDOQ1925982
Authors: John Elder 
Publication date: 27 December 2012
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00283-5
Recommendations
- An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
- The impulse response function of the long memory GARCH process
- On the parametrization of multivariate GARCH models
- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
- The impact of general non-parametric volatility functions in multivariate GARCH models
- A dynamic Markov regime-switching GARCH model and its cumulative impulse response function
- Generalized impulse response analysis in a fractionally integrated vector autoregressive model
- Feasible generalized least squares estimation of multivariate GARCH(1,1) models
Cites Work
Cited In (6)
- Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH
- Exchange rate risk and sectoral returns: A wavelet-based MRA-EDCC GARCH analysis
- Calculating and analyzing impulse responses for the vector ARFIMA model.
- An impulse-response function for a VAR with multivariate GARCH-in-mean that incorporates direct and indirect transmission of shocks
- The impulse response function of the long memory GARCH process
- Impulse Response Functions Based on a Causal Approach to Residual Orthogonalization in Vector Autoregressions
This page was built for publication: An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1925982)
