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

Issue

No 1

Authors

Osiewalski, Krzysztof ; Osiewalski, Jacek

Keywords

Bayesian econometrics ; vector error correction model ; hybrid MGARCH-MSV processes ; financial markets ; commodity markets

Divisions of PAS

Nauki Humanistyczne i Społeczne

Coverage

65-83

Publisher

Oddział PAN w Łodzi

Date

31.03.2013

Type

Artykuły / Articles

Identifier

DOI: 10.24425/cejeme.2013.119253 ; ISSN - 2080-0886, ISSN online - 2080-119X

Source

Central European Journal of Economic Modelling and Econometrics; 2013; No 1; 65-83