- Autor
- Pajor Anna (Cracow University of Economics, Poland)
- Tytuł
- VECM-TSV Models for Two Polish Official Exchange Rates
- Źródło
- FindEcon Monograph Series : advances in financial market analysis, 2006, nr 2, s. 49-66, rys., tab., bibliogr. s. 66
- Tytuł własny numeru
- Financial markets : principles of modeling forecasting and decision-making
- Słowa kluczowe
- Model wektorowej korekty błędem, Procesy zmienności stochastycznej, Kurs walutowy, Wnioskowanie bayesowskie
Vector error correction model (VECM), Stochastic Volatility Processes, Exchange rates, Bayesian inference - Abstrakt
- Chapter 3 presents a modeling of EUR/USD PLN/USD and PLN/EUR exchange rates under cointegration and error correction in VAR-TSV model. It has been shown that EUR/USD exchange rate and ECM term have effects on the inference on the conditional variances and correlation coefficient. (fragment of text)
- Dostępne w
- Biblioteka Główna Uniwersytetu Ekonomicznego w Krakowie
Biblioteka Główna Uniwersytetu Ekonomicznego w Poznaniu - Pełny tekst
- Pokaż
- Bibliografia
-
- Aguilar O., West M. (2000), "Bayesian Dynamic Factor Models and Portfolio Allocation", Journal of Business and Economic Statistics, 18.
- Chib S., Nardari F., Shephard N. (2001), "Analysis of High Dimensional Multivariate Stochastic Volatility Models", working paper, St. Luis: Washington University.
- Engle, R. F., Granger, C. W. J. (1987), "Co-Integration and Error Correction: Representation, Estimation and Testing", Econometrica, 55, 251-276.
- Gamerman D. (1997), Markov Chain Monte Carlo. Stochastic Simulation for Bayesian Inference, London: Champan & Hall.
- Harvey A. C., Ruiz E., Shephard N. G. (1994), "Multivariate Stochastic Variance Model", Review of Economic Studies, 61.
- Jacquier E., Poison N., Rossi P. (1994), "Bayesian Analysis of Stochastic Volatility Models", (with discussion), Journal of Business and Economic Statistics, 12.
- Jacquier E., Poison N., Rossi P. (1999), "Stochastic Volatility: Univariate and Multivariate Extensions", Montreal: Centre Interuniversitaire de Recherche en Analyse des Organisations; Cahiers Cirano.
- Nardari F., Scrugss J. T. (2003), "Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns, EFA Annual Conference Paper, 668. http://ssrn.com/abstract =423980.
- 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 Macromodeling, Amsterdam: Elsevier, 173-196.
- Pajor A. (2003), Procesy zmienności stochastycznej w bayesowskiej analizie finansowych szeregów czasowych (Stochastic Volatility Processes in Bayesian Analysis of Financial Time Series), doctoral dissertation, Kraków: Akademia Ekonomiczna.
- Pajor A. (2005a), "Bayesian Analysis of Stochastic Volatility Model and Portfolio Allocation", Acta Universitatis Lodziensis. Folia Oeconomica, 192.
- Pajor A. (2005b), "Bayesian Comparison of Bivariate SV Models for Two Related Time Series", Acta Universitatis Lodziensis, Folia Oeconomica (forthcoming).
- Pitt M. K., Shephard N. (1999), "Time-Varying Covariances: A Factor Stochastic Volatility Approach", in: Bernardo J. M., Berger J. O., Dawid A. P., Smith A. F. M. (eds.), Oxford: Oxford University Press.
- Tsay R. S. (2002), Analysis of Financial Time Series, New York: Wiley & Sons.
- Cytowane przez
- Język
- eng
