Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland

DOI10.1016/j.jeconom.2003.12.005zbMath1092.62113WikidataQ112207107 ScholiaQ112207107MaRDI QIDQ1886291

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

zbMATH Keywords

Bayes factors; Volatility; BEKK models; Latent factor GARCH; Multivariate GARCH

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62F15: Bayesian inference

Related Items

Computational tools for comparing asymmetric GARCH models via Bayes factors, Bayesian semiparametric multivariate GARCH modeling, Forecasting time-varying covariance with a robust Bayesian threshold model, BIVARIATE ARCH MODELS: FINITE-SAMPLE PROPERTIES OF QML ESTIMATORS AND AN APPLICATION TO AN LM-TYPE TEST

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