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Orthogonal transformation of coordinates in copula M-GARCH models - Bayseian analysis for WIG20 spot and futures returns
Pipień, Mateusz - 2013
Persistent link: https://www.econbiz.de/10009754037
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GARCH-in-Mean through skewed t conditional distributions : Bayesian inference for exchange rates
Osiewalski, Jacek; Pipień, Mateusz - In: Macromodels '99 : proceedings of the twenty six …, (pp. 354-369). 2000
Persistent link: https://www.econbiz.de/10001627614
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Bayesian analysis and option pricing in univariate Garch models with asymmetries and Garch-in-Mean effects
Osiewalski, Jacek; Pipień, Mateusz - In: Przegla̜d statystyczny / Polska Akademia Nauk, Komitet … 50 (2003) 3, pp. 6-29
Persistent link: https://www.econbiz.de/10001880129
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Bayesian comparison of bivariate GARCH processes : the role of the conditional mean specification
Osiewalski, Jacek; Pipień, Mateusz - In: New directions in macromodelling, (pp. 174-196). 2004
Persistent link: https://www.econbiz.de/10002717349
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Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
Osiewalski, Jacek; Pipień, Mateusz - In: Journal of econometrics 123 (2004) 2, pp. 371-391
Persistent link: https://www.econbiz.de/10002361773
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On the empirical importance of periodicity in the volatility of financial time series
Mazur, Błażej; Pipień, Mateusz - 2012
Persistent link: https://www.econbiz.de/10009669899
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Time-varying asymmetry and tail thickness in long series of daily financial returns
Mazur, Błażej; Pipień, Mateusz - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 22 (2018) 5, pp. 1-21
Persistent link: https://www.econbiz.de/10011965380