There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay investment. These models are...

There has recently been considerable interest in the potential adverse effects associated with excessive uncertainty in energy futures markets. Theoretical models of investment under uncertainty predict that increased uncertainty will tend to induce firms to delay production and investment....

This paper derives an analytical expression for an impulse-response function for a vector autoregression with multivariate GARCH errors, where the vector of conditional means is a function of the conditional variances. We also provide the appropriate interpretation of an impulse-response...