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

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

Jacek Osiewalski2004

Article2004

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

Jacek Osiewalski · Mateusz Pipień

61 citations·0/0 files stored·Journal of Econometrics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Market Dynamics and Volatility

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1995Multivariate Simultaneous Generalized ARCH 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model 1989The dynamics of exchange rate volatility: A multivariate latent factor ARCH model 1990Volatiltiy and Links Between National Stock Markets 1994Volatility and Links between National Stock Markets 1999ARCH Models and Financial Applications

Cited by

2013Bayesian semiparametric multivariate GARCH modeling 2013BAYESIAN INFERENCE METHODS FOR UNIVARIATE AND MULTIVARIATE GARCH MODELS: A SURVEY 2009Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility 2009New Hybrid Models of Multivariate Volatility (a Bayesian Perspective)

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Year2004

Typearticle

Published2004-02-05

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations61

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.jeconom.2003.12.005

openalex_workW2058724330

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