VECM-TSV Models for Two Polish Official Exchange Rates

Anna Pajor

Chapter 3 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2006, vol. 2, pp 49-66 from University of Lodz

Abstract: Chapter 3 presents a modeling of EUR/USD PLN/USD and PLN/EUR exchange rates under cointegration and error correction in VAR-TSV model. It has been shown that EUR/USD exchange rate and ECM term have effects on the inference on the conditional variances and correlation coefficient.

Keywords: Vector error correction model (VECM); Stochastic Volatility Processes; Exchange rates; Bayesian inference (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2006
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