The VAR-VARCH model: A Bayesian approach

MaRDI QIDQ4369005zbMATH OpenFDO

Authors Wolfgang Polasek, Hideo Kozumi

Publication date 28 January 1998

zbMATH Keywords

exchange ratesfull conditional distributionsGibbs samplingrandom coefficientsVAR-VARCH models

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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Cited in

(20)

• Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates
• Bayes shrinkage estimation for high-dimensional VAR models with scale mixture of normal distributions for noise
• Estimation of VAR models: computational aspects
• A Bayesian vector error correction model for forecasting exchange rates.
• Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
• Joint Bayesian inference about impulse responses in VAR models
• Inference in Bayesian additive vector autoregressive tree models
• A hybrid time-varying parameter Bayesian VAR analysis of Okun's law in the United States
• Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation
• Modeling and forecasting volatility in a Bayesian approach
• Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
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• Time-varying vector autoregressive models with stochastic volatility
• A Bayesian analysis of autoregressive models with exogenous variables and power-transformed and threshold GARCH errors
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• Bayesian Comparison of Bivariate GARCH Processes. The Role of the Conditional Mean Specification
• Estimation and application of the vector-valued AR-GoGARCH models: symmetric and asymmetric innovations

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