- Author
- Osiewalski Jacek (Cracow University of Economics, Poland), Pajor Anna (Cracow University of Economics, Poland)
- Title
- Flexibility and Parsimony in Multivariate Financial Modelling : a Hybrid Bivariate DCC-SV Model
- Source
- FindEcon Monograph Series : advances in financial market analysis, 2007, nr 3, s. 11-26, rys., tab., bibliogr. s. 25-26
- Issue title
- Financial markets : principles of modeling forecasting and decision-making
- Keyword
- Analiza finansowa, Model GARCH, Modele stochastyczne
Financial analysis, GARCH model, Stochastic models - Accessibility
- The Main Library of the Cracow University of Economics
The Main Library of Poznań University of Economics and Business - Full text
- Show
- Bibliography
-
- Bollerslev T. (1990), "Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalised ARCH Model", Review of Economics and Statistics, 72, 498-505.
- Engle R. (2002), "Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models", Journal of Business and Economic Statistics, 20, 339-350.
- Jacquier E., Poison N., Rossi P. (1995), Models and Prior Distributions for Multivariate Stochastic Volatility, technical report, Chicago: University of Chicago, Graduate School of Business.
- Newton M. A., Raftery A. E. (1994), "Approximate Bayesian Inference by the Weighted Likelihood Bootstrap" (with discussion), Journal of the Royal Statistical Society, B, 56, 3 48.
- O'Hagan A. (1994), Bayesian Inference, London: Edward Arnold.
- Osiewalski J., Pajor A., Pipień M. (2006), "Bayes Factors for Bivariate GARCH and SV Models", in: Milo W., Wdowiński P. (eds.), Financial Markets: Principles of Modeling, Forecasting and Decision-Making, FindEcon Monograph Series: Advances in Financial Market Analysis, 2, Łódź: Łódź University Press.
- Osiewalski J., Pipień M. (2004), "Bayesian Comparison of Bivariate GARCH Processes. The Role of the Conditional Mean Specification", in: Welfe A. (ed.), New Directions in Macromodelling, Amsterdam: Elsevier, 173-196.
- Osiewalski J., Pipień M. (2005), "Bayesian Analysis of Dynamic Conditional Correlation Using Bivariate GARCH Models", Acta Universitatis Lodziensis, Folia Oeconomica, 192, 213-227.
- Pajor A. (2003), Procesy zmienności stochastycznej SV w bayesowskiej analizie finansowych szeregów czasowych (Stochastic Volatility Processes in Bayesian Analysis of Financial Time Series), doctoral dissertation (in Polish) Kraków, Akademia Ekonomiczna.
- Pajor A. (2005a), "Bayesian Analysis of Stochastic Volatility Model and Portfolio Allocation, Acta Universitatis Lodziensis, Folia Oeconomica, 192, 229-249.
- Pajor A. (2005b), "Bayesian Comparison of Bivariate SV Models for Two Related Time Series", Acta Universitatis Lodziensis, Folia Oeconomica, 190, 177-196.
- Pajor A. (2006), "VECM-TSV Models for Exchange Rates of the Polish Zloty", Acta Universitatis Lodziensis, Folia Oeconomica, forthcoming.
- Tsay R. S. (2002), Analysis of Financial Time Series, New York: Wiley.
- Tse Y. K., Tsui A. K. C. (2002), "A Multivariate Generalized Autoregressive Conditional Heteroskedasticity Model with Time-Varying Correlations", Journal of Business and Economic Statistics, 20, 351-362.
- Cited by
- Language
- eng
