An impulse-response function for a vector autoregression with multivariate GARCH-in-mean

被引：43

作者：

Elder, J ^{[1
]}

机构：

[1] N Dakota State Univ, Coll Business, Fargo, ND 58105 USA

来源：

ECONOMICS LETTERS | 2003年 / 79卷 / 01期

关键词：

multivariate GARCH; VAR; impulse-response;

D O I：

10.1016/S0165-1765(02)00283-5

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 function for such models and suggest interesting empirical issues that can be addressed within this framework. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：21 / 26

页数：6

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