An Impulse-Response Function for a VAR with Multivariate GARCH-in-Mean that Incorporates Direct and Indirect Transmission of Shocks
Year of publication: |
2012
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Authors: | Chua, Chew Lian |
Other Persons: | Suardi, Sandy (contributor) ; Tsiaplias, Sarantis (contributor) |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | VAR-Modell | VAR model | Schock | Shock | Theorie | Theory | ARCH-Modell | ARCH model |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Economics Letters, Vol. 117, 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1, 2011 erstellt Volltext nicht verfügbar |
Classification: | G10 - General Financial Markets. General ; C32 - Time-Series Models ; C50 - Econometric Modeling. General ; G01 - Financial Crises |
Source: | ECONIS - Online Catalogue of the ZBW |
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