An Impulse-Response Function for a Vector Autoregression with Multivariate GARCH-in-Mean
نویسنده
چکیده
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.
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