Forecasting performance of Bayesian VEC-MSF models for financial data in the presence of long-run relationships
Anna Pajor, Justyna Wróblewska
| Year of publication: |
2022
|
|---|---|
| Authors: | Pajor, Anna ; Wróblewska, Justyna |
| Subject: | Cointegration | Exchange rate | Multivariate time series | Predictive Bayes factor | Stochastic volatility | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Wechselkurs | Theorie | Theory | Bayes-Statistik | Bayesian inference | Volatilität | Volatility | Kointegration |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s40822-022-00203-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013431511