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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

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
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)
Twórcy
  • Cracow University of Economics, Poland
autor
  • Cracow University of Economics, Poland
  • Cracow University of Economics, Poland
Bibliografia
  • Baba Y., Engle R. F., Kraft D., Kroner K. (1989), Multivariate Simultaneous Generalized ARCH, manuscript, San Diego: Department of Economics, University of California.
  • Bauwens L., Laurent S., Rombouts J. V. K. (2004), "Multivariate GARCH Models: A Survey", Louvain-la-Neuve: Université Catholique de Louvain, CORE Discussion Paper, April 19th.
  • Bollerslev T. (1990), "Modeling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized ARCH Model", Review of Economics and Statistics, 72, 498-505.
  • Bollerslev T., Engle R. F., Wooldridge J. M. (1988), "A Capital Asset Pricing Model with Time-Varying Covariances", Journal of Political Economy, 96, 116-131.
  • Chib S., Nardari F., Shephard N. (2001), "Analysis of High Dimensional Multivariate Stochastic Volatility Models", St. Louis: Washington University, Working Paper.
  • Diebold F., Nerlove M. (1989), "The Dynamic of Exchange Rate Volatility: A Multivariate Latent Factor ARCH Model", Journal of Applied Econometrics, 4, 1-22.
  • 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.
  • Engle R. F., Kroner K. F. (1995), "Multivariate Simultaneous Generalized ARCH", Econometric Theory, 11, 122-150.
  • Gamerman D. (1997), Markov Chain Monte Carlo. Stochastic Simulation for Bayesian Inference, London: Chapman & Hall.
  • Geweke J. (1989), "Exact Predictive Densities for Linear Models with ARCH Disturbances", Journal of Econometrics, 40, 63-86.
  • Gourieroux C. (1997), ARCH Models and Financial Applications, New York: Springer.
  • Harvey A. C., Ruiz E., Shephard N. G. (1994), "Multivariate Stochastic Variance Model", Review of Economic Studies, 61, 247-264.
  • Jacquier E., Poison N., Rossi P. (1994), "Bayesian Analysis of Stochastic Volatility Models (with Discussion)", Journal of Business and Economic Statistics, 12, 371-417.
  • 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.
  • Jacquier E., Poison N., Rossi P. (1999), "Stochastic Volatility: Univariate and Multivariate Extensions", Montréal: Centre Interuniversitaire de Recherche en Analyse des Organisations, Cahiers Cirano,.
  • Kim S., Shephard N., Chib S. (1998), "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models", Review of Economic Studies, 65, 361-393.
  • King M., Sentana E., Wadhwani S. (1994), "Volatility and Links Between National Stock Markets", Econometrica, 62, 901-934.
  • 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.
  • 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., Pipień M. (1999), "Bayesian Forecasting of Foreign Exchange Rates Using GARCH Models with Skewed-« Conditional Distributions", in: Welfe W. (ed.), Macro models '98. Conference Proceedings, Vol. 2, Łódź: Absolwent, 195-218.
  • Osiewalski J., Pipień M. (2002), "Multivariate t-GARCH Models - Bayesian Analysis for Exchange Rates", in: Welfe, W. (ed.), Modelling Economies in Transition - Proceedings of the Sixth AMFET Conference, Łódź: Absolwent, 151-167.
  • Osiewalski J., Pipień M. (2004a), "Bayesian Comparison of Bivariate ARCH- type Models for the Main Exchange Rates in Poland", Journal of Econometrics, 123, 371-391.
  • Osiewalski J., Pipień M. (2004b), "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.
  • 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. (2005), "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.), Bayesian Statistics Vol. 6, (Oxford: Oxford University Press.
  • Tsay R. S. (2002), Analysis of Financial Time Series, New York: Wiley & Sons.
  • 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.
  • Vrontos I. D., Dellaportas P., Politis D. N. (2000), "Full Bayesian Inference for GARCH and EGARCH Models", Journal of Business and Economic Statistics, 18, 187-198.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171274029

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