Chua, Chew Lian; Suardi, Sandy; Tsiaplias, Sarantis - In: Economics Letters 117 (2012) 2, pp. 452-454
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).