Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
DOI10.1016/J.JECONOM.2003.12.005zbMATH Open1092.62113OpenAlexW2058724330WikidataQ112207107 ScholiaQ112207107MaRDI QIDQ1886291FDOQ1886291
Authors: Jacek Osiewalski, Mateusz Pipień 
Publication date: 18 November 2004
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2003.12.005
Recommendations
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
Cites Work
- Generalized autoregressive conditional heteroscedasticity
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- ARCH models and financial applications
- Bayesian inference in dynamic econometric models. With a foreword by Jacques J. Drèze
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- Volatility and Links between National Stock Markets
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Cited In (11)
- Bayesian semiparametric multivariate GARCH modeling
- Computational tools for comparing asymmetric GARCH models via Bayes factors
- Bayesian Comparison of Bivariate GARCH Processes. The Role of the Conditional Mean Specification
- Forecasting time-varying covariance with a robust Bayesian threshold model
- Granger-causal analysis of GARCH models: A Bayesian approach
- Title not available (Why is that?)
- Time-varying asymmetry and tail thickness in long series of daily financial returns
- Predicting daily highs and lows of exchange rates: a cointegration analysis
- Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model
- Bayesian inference of multivariate rotated GARCH models with skew returns
- BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST
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