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A Bayesian Estimation and Testing of STUR Models with Application to Polish Financial Time Series

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  • Jacek Kwiatkowski

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  • Jacek Kwiatkowski, 2006. "A Bayesian Estimation and Testing of STUR Models with Application to Polish Financial Time Series," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 151-160.
    • Handle: RePEc:cpn:umkdem:v:7:y:2006:p:151-160
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    References listed on IDEAS

    as
    1. Jostova, Gergana & Philipov, Alexander, 2005. "Bayesian Analysis of Stochastic Betas," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 40(4), pages 747-778, December.
    2. Robert Sollis & Paul Newbold & Stephen Leybourne, 2000. "Stochastic unit roots modelling of stock price indices," Applied Financial Economics, Taylor & Francis Journals, vol. 10(3), pages 311-315.
    3. Granger, Clive W. J. & Swanson, Norman R., 1997. "An introduction to stochastic unit-root processes," Journal of Econometrics, Elsevier, vol. 80(1), pages 35-62, September.
    4. Leybourne, S J & McCabe, B P M & Tremayne, A R, 1996. "Can Economic Time Series Be Differenced to Stationarity?," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(4), pages 435-446, October.
    5. Osiewalski, Jacek & Pipien, Mateusz, 2004. "Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland," Journal of Econometrics, Elsevier, vol. 123(2), pages 371-391, December.
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