Details

Title

Long-Run Relationship between Daily Prices on Two Markets: The Bayesian VAR(2)-MSF-SBEKK Model

Journal title

Central European Journal of Economic Modelling and Econometrics

Yearbook

2013

Numer

No 1

Publication authors

Keywords

Bayesian econometrics, Vector Error Correction model, multivariate volatility models, hybrid, MGARCH-MSV processes, financial markets, commodity markets

Divisions of PAS

Nauki Humanistyczne i Społeczne

Publisher

Oddział PAN w Łodzi

Identifier

ISSN - 2080-0886, ISSN online - 2080-119X

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