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

Unknown author2003

Article2003

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

Unknown author

70 citations·0/0 files stored·Economics Letters

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Market Dynamics and Volatility

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References

1980Macroeconomics and Reality 1995Multivariate Simultaneous Generalized ARCH 1988A Capital Asset Pricing Model with Time-Varying Covariances 1977Nobel Lecture: Inflation and Unemployment 1995Inflation and Unemployment 2000The effects of real and nominal uncertainty on inflation and output growth: some garch-m evidence 1998On inflation and inflation uncertainty in the G7 countries 2000Inflation uncertainty and growth in a cash-in-advance economy

Cited by

2016Oil price uncertainty and the U.S. stock market analysis based on a GARCH-in-mean VAR model 2021Financial stress, economic policy uncertainty, and oil price uncertainty 2009Oil price uncertainty in Canada 2014Oil price uncertainty and manufacturing production 2018Oil Prices and the Renewable Energy Sector 2011VOLATILITY IN OIL PRICES AND MANUFACTURING ACTIVITY: AN INVESTIGATION OF REAL OPTIONS

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Year2003

Typearticle

Published2003-03-04

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations70

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/s0165-1765(02)00283-5

openalex_workW2033257657

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2013

Inflation, output and uncertainty in the era of inflation targeting – A multi-economy view on causal linkages

2015The linkage between aggregate investor sentiment and metal futures returns: A nonlinear approach