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

DOI10.1016/J.JECONOM.2003.12.005MaRDI QIDQ1886291zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

Bayes factorsVolatilityBEKK modelsLatent factor GARCHMultivariate GARCH

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

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• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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• Generalized autoregressive conditional heteroscedasticity
• Marginal Likelihood From the Metropolis–Hastings Output
• Marginal Likelihood from the Gibbs Output
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
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Cited in

(11)

• Bayesian Comparison of Bivariate GARCH Processes. The Role of the Conditional Mean Specification
• Time-varying asymmetry and tail thickness in long series of daily financial returns
• Forecasting time-varying covariance with a robust Bayesian threshold model
• Computational tools for comparing asymmetric GARCH models via Bayes factors
• Predicting daily highs and lows of exchange rates: a cointegration analysis
• 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
• Granger-causal analysis of GARCH models: a Bayesian approach
• Bayesian semiparametric multivariate GARCH modeling
• scientific article; zbMATH DE number 1424396 (Why is no real title available?)
• Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model

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