Title

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

RIS ID

97744

Publication Details

Chua, C., Suardi, S. & Tsiaplias, S. (2012). An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks. Economics Letters, 117 (2), 452-454.

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).

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Link to publisher version (DOI)

http://dx.doi.org/10.1016/j.econlet.2012.06.031