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Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001)


  • Jacek Osiewalski
  • Anna Pajor
  • Mateusz Pipien


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  • Jacek Osiewalski & Anna Pajor & Mateusz Pipien, 2006. "Bayesian Analysis of Main Bivariate GARCH and SV Models for PLN/USD and PLN/DEM (1966-2001)," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 7, pages 25-36.
  • Handle: RePEc:cpn:umkdem:v:7:y:2006:p:25-36

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    References listed on IDEAS

    1. Sylvia Kaufmann, 2000. "Measuring business cycles with a dynamic Markov switching factor model: an assessment using Bayesian simulation methods," Econometrics Journal, Royal Economic Society, vol. 3(1), pages 39-65.
    2. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
    3. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
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