An application of three bivariate time-varying volatility models

被引：3
|
作者：
Vrontos, ID
Giakoumatos, SG
Dellaportas, P
Politis, DN
机构：
[1] Athens Univ Econ & Business, Dept Stat, Athens 10434, Greece
[2] Univ Calif San Diego, Dept Math, La Jolla, CA 92093 USA
来源：
APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY | 2001年 / 17卷 / 01期
关键词：
generalized autoregressive heteroskedasticity; unobserved ARCH; MCMC; predictive distribution;
D O I：
10.1002/asmb.431
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
The multivariate time-varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH-GARCH models and a bivariate unobserved ARCH model to a series of exchange rates, and we estimate the parameters using Bayesian inference. We compare these models using a posterior predictive model diagnostic. Copyright (C) 2001 John Wiley & Sons, Ltd.
引用
收藏
页码：121 / 133
页数：13
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