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

DOI10.1016/S0573-8555(04)69007-9zbMath1284.91453MaRDI QIDQ5292185

Jacek Osiewalski, Mateusz Pipień

Publication date: 19 June 2007

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

zbMATH Keywords

Bayes factorsexchange ratesmultivariate GARCHerror correction mechanismBEKK models

Mathematics Subject Classification ID

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

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VEC-MSF models in Bayesian analysis of short- and long-run relationships

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