Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland (Q1886291)
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scientific article; zbMATH DE number 2116210
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| English | Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland |
scientific article; zbMATH DE number 2116210 |
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Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland (English)
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18 November 2004
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Bayes factors
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Multivariate GARCH
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Latent factor GARCH
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BEKK models
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Volatility
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0.8897601962089539
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0.7653846144676208
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0.7653842568397522
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