An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks

C-Tier

Journal: Economics Letters

Year: 2012

Volume: 117

Issue: 2

Pages: 452-454

Authors (3)

Chua, Chew Lian (not in RePEc) Suardi, Sandy (University of Wollongong) Tsiaplias, Sarantis (University of Melbourne)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

We generalise the impulse response function of Elder (2003) by considering indirect volatility spillovers for a VAR model with multivariate GARCH-in-Mean. The extension is relevant for variables that exhibit direct and indirect volatility spillovers (Tsiaplias and Chua, in press).

An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks

Authors (3)

Abstract

Technical Details