Bayesian Comparison of Bivariate GARCH Processes. The Role of the Conditional Mean Specification

DOI10.1016/S0573-8555(04)69007-9MaRDI QIDQ5292185zbMATH OpenFDO

Authors Jacek Osiewalski, Mateusz Pipień

Publication date 19 June 2007

Published in Contributions to Economic Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0573-8555(04)69007-9

zbMATH Keywords

Bayes factorsBEKK modelserror correction mechanismexchange ratesmultivariate GARCH

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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