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2006 | nr 2 Financial markets : principles of modeling forecasting and decision-making | 15--35
Tytuł artykułu

Bayes Factors for Bivariate GARCH and SV Models

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Chapter 1 presents the Bayesian approach to assessing the relative explanatory power of multivariate GARCH and Stochastic Variance (SV) models. It has been shown that the formal Bayesian model comparison is feasible when comparing even unparsimonious bivariate specifications from GARCH and SV classes. The empirical findings should not be generalized but they clearly illustrate high distributional flexibility of MSV models in explaining outliers in exchange rate time series. (fragment of text)
  • Cracow University of Economics, Poland
  • Cracow University of Economics, Poland
  • Cracow University of Economics, Poland
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