Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland

Journal of Econometrics

Volumn 123, Issue 2, 2004, Pages 371-391

  Osiewalski, Jacek ^a   Pipień, Mateusz ^a  

^a CRACOW UNIVERSITY OF ECONOMICS   (Poland)

Author keywords

Bayes factors; BEKK models; Latent factor GARCH; Multivariate GARCH; Volatility

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; ERROR ANALYSIS; LAPLACE TRANSFORMS; MATHEMATICAL MODELS; POLYNOMIALS;

BAYES FACTORS; BEKK MODELS; LATENT FACTOR GARCH; MULTIVARIATE GARCH; VOLATILITY;

RANDOM PROCESSES;

EID: 4644309228     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2003.12.005     Document Type: Conference Paper

References (26)

1. Baba, Y., Engle, R.F., Kraft, D., Kroner, K., 1989. Multivariate simultaneous generalised ARCH. Unpublished manuscript, Department of Economics, University of California at San Diego.
2. Bauwens L., Lubrano M. Bayesian inference on GARCH models using the Gibbs sampler. Econometrics Journal. 1:1998;C23-C46.
3. Bauwens L., Lubrano M., Richard J.-F. Bayesian Inference In Dynamic Econometric Models. 1999;Oxford University Press, Oxford.
4. Bollerslev T. Generalised autoregressive conditional heteroskedasticity. Journal of Econometrics. 31:1986;307-327.
5. Bollerslev T. Modelling the coherence in short-run nominal exchange rates; A multivariate generalised ARCH Model. The Review of Economics and Statistics. 72:1990;498-505.
6. Bos Ch.S., Mahieu R.J., Van Dijk H.K. Daily exchange rate behaviour and hedging of currency risk. Journal of Applied Econometrics. 15:2000;671-696.
7. Chib S. Marginal likelihood from the Gibbs output. Journal of the American Statistical Association. 90:1995;1313-1321.
8. Chib S., Jeliazkov I. Marginal likelihood from the Metropolis-Hastings output. Journal of the American Statistical Association. 96:2001;270-281.
9. Cowles M.K., Carlin B.P. Markov Chain Monte Carlo convergence diagnostics. a comparative review Journal of the American Statistical Association. 91:1996;883-904.
10. Diebold F., Nerlove M. The dynamics of exchange rate volatility. a multivariate latent factor ARCH model Journal of Applied Econometrics. 4:1989;1-22.
11. Engle R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation. Econometrica. 50:1982;987-1007.
12. Engle R.F., Kroner K.F. Multivariate simultaneous generalised ARCH. Econometric Theory. 11:1995;122-150.
13. Gamerman D. Markov Chain Monte Carlo. Stochastic Simulation for Bayesian Inference. 1997;Chapman & Hall, London.
14. Geweke J. Exact predictive densities for linear models with ARCH disturbances. Journal of Econometrics. 40:1989;63-86.
15. Giakoumatos, S.G., Dellaportas, P., Politis, D.D., 1999. Bayesian analysis of some multivariate time-varying volatility models. Unpublished manuscript.
16. Gourieroux C. ARCH Models and Financial Applications. 1997;Springer, New York.
17. King M., Sentana E., Wadhwani S. Volatility and links between national stock markets. Econometrica. 62:1994;901-934.
18. Kleibergen F., Van Dijk H.K. Non-stationarity in GARCH models. a Bayesian analysis Journal of Applied Econometrics. 8:1993;S41-S61.
19. Newton M.A., Raftery A.E. Approximate Bayesian inference by the weighted likelihood bootstrap (with discussion). Journal of the Royal Statistical Society B. 56:1994;3-48.
20. O'Hagan A. Bayesian Inference. 1994;Edward Arnold, London.
21. Osiewalski, J., Pipień, M., 1999. Bayesian forecasting of foreign exchange rates using GARCH models with skewed t conditional distributions. In: Welfe, W. (Ed.), MACROMODELS'98, Conference Proceedings, Vol. 2. Absolwent, łódź, pp. 195-218.
22. Osiewalski, J., Pipień, M., 2000. GARCH-In-Mean through skewed t conditional distributions: Bayesian inference for exchange rates. In: Welfe, W., Wdowiński, P. (Eds.), MACROMODELS'99, Conference Proceedings. Absolwent, łódź, pp. 354-369.
23. 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. Absolwent, łódź, pp. 151-167.
24. Tierney L., Kadane J.B. Accurate approximations for posterior moments and marginal densities. Journal of the American Statistical Association. 81:1986;82-86.
25. Vrontos I.D., Dellaportas P., Politis D.N. Full Bayesian inference for GARCH and EGARCH models. Journal of Business and Economic Statistics. 18:2000;187-198.
26. Yu, B., Mykland, P., 1994. Looking at Markov samplers through CUMSUM paths plots: a simple diagnostic idea. Technical Report 413, Department of Statistics, University of California at Berkeley.