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Application of three bivariate time-varying volatility models

dc.contributor.authorVrontos, Ioannis D.en
dc.contributor.authorGiakoumatos, Stefanos G.en
dc.contributor.authorDellaportas, Petrosen
dc.contributor.authorPolitis, Dimitris Nicolasen
dc.creatorVrontos, Ioannis D.en
dc.creatorGiakoumatos, Stefanos G.en
dc.creatorDellaportas, Petrosen
dc.creatorPolitis, Dimitris Nicolasen
dc.date.accessioned2019-12-02T10:38:48Z
dc.date.available2019-12-02T10:38:48Z
dc.date.issued2001
dc.identifier.issn1524-1904
dc.identifier.urihttp://gnosis.library.ucy.ac.cy/handle/7/57763
dc.description.abstractThe 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.en
dc.sourceApplied Stochastic Models in Business and Industryen
dc.source.urihttps://www.scopus.com/inward/record.uri?eid=2-s2.0-0342854460&doi=10.1002%2fasmb.431&partnerID=40&md5=9598f71341a1eb80eb65bafe8a4aebbc
dc.subjectMathematical modelsen
dc.subjectFinancial data processingen
dc.subjectRandom processesen
dc.subjectIndustrial economicsen
dc.subjectMatrix algebraen
dc.subjectTime series analysisen
dc.subjectAutoregressive conditional heteroskedasticity (ARCH) modelsen
dc.subjectMultivariate time-varying volatility modelsen
dc.titleApplication of three bivariate time-varying volatility modelsen
dc.typeinfo:eu-repo/semantics/article
dc.identifier.doi10.1002/asmb.431
dc.description.volume17
dc.description.issue1
dc.description.startingpage121
dc.description.endingpage133
dc.author.facultyΣχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences
dc.author.departmentΤμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics
dc.type.uhtypeArticleen
dc.description.notes<p>Cited By :1</p>en
dc.source.abbreviationAppl Stochastic Models Bus Indusen
dc.contributor.orcidVrontos, Ioannis D. [0000-0002-3283-6668]
dc.gnosis.orcid0000-0002-3283-6668


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