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

Chew Lian Chua; Sandy Suardi; Sarantis Tsiaplias

doi:10.1016/j.econlet.2012.06.031

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

Chew Lian Chua, Sandy Suardi, Sarantis Tsiaplias

Research output: Journal Publication › Article › peer-review

5 Citations (Scopus)

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, inpress).

Original language	English
Pages (from-to)	452-454
Number of pages	3
Journal	Economics Letters
Volume	117
Issue number	2
DOIs	https://doi.org/10.1016/j.econlet.2012.06.031
Publication status	Published - Nov 2012
Externally published	Yes

Keywords

Impulse response
Latent factors
Multivariate GARCH
Spillovers

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2012.06.031

Cite this

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

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, inpress).",

keywords = "Impulse response, Latent factors, Multivariate GARCH, Spillovers",

author = "Chua, {Chew Lian} and Sandy Suardi and Sarantis Tsiaplias",

year = "2012",

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AU - Chua, Chew Lian

AU - Suardi, Sandy

AU - Tsiaplias, Sarantis

PY - 2012/11

Y1 - 2012/11

N2 - 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, inpress).

AB - 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, inpress).

KW - Impulse response

KW - Latent factors

KW - Multivariate GARCH

KW - Spillovers

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U2 - 10.1016/j.econlet.2012.06.031

DO - 10.1016/j.econlet.2012.06.031

M3 - Article

AN - SCOPUS:84863739077

SN - 0165-1765

VL - 117

SP - 452

EP - 454

JO - Economics Letters

JF - Economics Letters

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ER -

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

Abstract

Keywords

ASJC Scopus subject areas

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