Flexibility and Parsimony in Multivariate Financial Modelling : a Hybrid Bivariate DCC-SV Model

• Autorzy: Jacek Osiewalski , Anna Pajor
• Języki publikacji: EN

Słowa kluczowe

EN

Financial analysis; GARCH model; Stochastic models

PL

Analiza finansowa; Model GARCH; Modele stochastyczne

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2007
• Numer: nr 3 Financial markets : principles of modeling forecasting and decision-making
• Strony: 11--26

Twórcy

autor

Jacek Osiewalski

• Cracow University of Economics, Poland

autor

Anna Pajor

• Cracow University of Economics, Poland

Bibliografia

• 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.