Abstract
AbstractThe multivariate time‐varying volatility models have recently attracted a lot of attention in the statistics/econometrics community. We apply two bivariate ARCH–GARCH models and a bivariate unobserved ARCH model to a series of exchange rates, and we estimate the parameters using Bayesian inference. We compare these models using a posterior predictive model diagnostic. Copyright © 2001 John Wiley & Sons, Ltd.
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