VECM-TSV Models for Two Polish Official Exchange Rates

• Autorzy: Anna Pajor
• Języki publikacji: EN

Abstrakty

EN

Chapter 3 presents a modeling of EUR/USD PLN/USD and PLN/EUR exchange rates under cointegration and error correction in VAR-TSV model. It has been shown that EUR/USD exchange rate and ECM term have effects on the inference on the conditional variances and correlation coefficient. (fragment of text)

Słowa kluczowe

PL

Model wektorowej korekty błędem; Procesy zmienności stochastycznej; Kurs walutowy; Wnioskowanie bayesowskie

EN

Vector error correction model (VECM); Stochastic Volatility Processes; Exchange rates; Bayesian inference

• Czasopismo: FindEcon Monograph Series : advances in financial market analysis
• Rocznik: 2006
• Numer: nr 2 Financial markets : principles of modeling forecasting and decision-making
• Strony: 49-66

Twórcy

autor

Anna Pajor

• Cracow University of Economics, Poland

Bibliografia

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