Bayesian Comparison of Bivariate GARCH Processes in the Presence of an Exogenous Variable

• Autorzy: Jacek Osiewalski , Mateusz Pipień
• Języki publikacji: EN

Abstrakty

EN

In this paper we assume that this approximate relation (in log terms) is a cointegration equation in the sense of Engle and Granger (1987) and that the DEM/USD rate is weakly exogenous in the Bayesian sense of Florens and Mouchart (1985) and Osiewalski and Steel (1996). We build a two-equation conditional model with the error correction mechanism (ECM) and the disturbances following one of the competing bivariate GARCH specifications. The aim of the paper is to check sensitivity of our Bayesian model comparison with respect to the presence of the third (exogenous) exchange rate.(fragment of text)

Słowa kluczowe

EN

Bayesian econometric; GARCH model; ECM model (Error-Correction Model); Bayesian models

PL

Ekonometria bayesowska; Model GARCH; Model korekty błędem; Modele bayesowskie

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2004
• Tom: 6
• Strony: 25--36

Twórcy

autor

Jacek Osiewalski

• Cracow University of Economics, Poland

autor

Mateusz Pipień

• Cracow University of Economics, Poland

Bibliografia

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