| dc.contributor.author | Vrontos, Ioannis D. | en |
| dc.contributor.author | Giakoumatos, Stefanos G. | en |
| dc.contributor.author | Dellaportas, Petros | en |
| dc.contributor.author | Politis, Dimitris Nicolas | en |
| dc.creator | Vrontos, Ioannis D. | en |
| dc.creator | Giakoumatos, Stefanos G. | en |
| dc.creator | Dellaportas, Petros | en |
| dc.creator | Politis, Dimitris Nicolas | en |
| dc.date.accessioned | 2019-12-02T10:38:48Z | |
| dc.date.available | 2019-12-02T10:38:48Z | |
| dc.date.issued | 2001 | |
| dc.identifier.issn | 1524-1904 | |
| dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57762 | |
| dc.description.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. | en |
| dc.source | Applied Stochastic Models in Business and Industry | en |
| dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-33749156419&partnerID=40&md5=b1e826a62dac4265b58c93f406a05d47 | |
| dc.subject | Predictive distribution | en |
| dc.subject | Generalized autoregressive heteroskedasticity | en |
| dc.subject | MCMC | en |
| dc.subject | Unobserved arch | en |
| dc.title | An application of three bivariate time-varying volatility models | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.description.volume | 17 | |
| dc.description.issue | 1 | |
| dc.description.startingpage | 109 | |
| dc.description.endingpage | 120 | |
| dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
| dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
| dc.type.uhtype | Article | en |
| dc.source.abbreviation | Appl Stochastic Models Bus Indus | en |
| dc.contributor.orcid | Vrontos, Ioannis D. [0000-0002-3283-6668] | |
| dc.gnosis.orcid | 0000-0002-3283-6668 | |
