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- W2000492771 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)." @default.
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- W2000492771 date "2012-11-01" @default.
- W2000492771 modified "2023-09-25" @default.
- W2000492771 title "An impulse-response function for a VAR with multivariate GARCH-in-Mean that incorporates direct and indirect transmission of shocks" @default.
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- W2000492771 doi "https://doi.org/10.1016/j.econlet.2012.06.031" @default.
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