An application of three bivariate time‐varying volatility models

I. D. Vrontos, S. G. Giakoumatos, Petros Dellaportas and D. N. Politis

Applied Stochastic Models in Business and Industry, 2001, vol. 17, issue 1, 121-133

Abstract: 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 © 2001 John Wiley & Sons, Ltd.

Date: 2001
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https://doi.org/10.1002/asmb.431

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Persistent link: https://EconPapers.repec.org/RePEc:wly:apsmbi:v:17:y:2001:i:1:p:121-133

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