Modelling the Conditional Covariance Matrix in Stochastic Volatility Models with Applications to the Main Exchange Rates in Poland1

• Autorzy: Anna Pajor
• Języki publikacji: EN

Abstrakty

EN

In this article we used the main Polish exchange rates to compare various bivariate SV-type specifications using their Bayes factors. We considered five bivariate SV models, including the specification with zero, constant and time-varying conditional correlation. The competing bivariate stochastic volatility models differ in assumption on conditional correlation and in the number of latent processes. The results indicate that the most adequate specifications are those that allow for time-varying conditional correlation and that have as many latent processes as there are conditional variances and covariances. The empirical results show that the explanatory power of TSV model depends on the ordering of modelled financial instruments.(fragment of text)

Słowa kluczowe

EN

Covariance matrix; Econometric modeling; Stochastic models; Stochastic Volatility Processes; Exchange rates; Bayes factor

PL

Macierz kowariancji; Modelowanie ekonometryczne; Modele stochastyczne; Procesy zmienności stochastycznej; Kurs walutowy; Czynnik Bayesa

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 169--177

Twórcy

autor

Anna Pajor

• Cracow University of Economics, Poland

Bibliografia

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