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A Bayesian semiparametric analysis of ARCH models

Kozumi, Hideo; Polasek, Wolfgang - In: Optimization, dynamics, and economic analysis : essays …, (pp. 389-400). 2000

Persistent link: https://www.econbiz.de/10001497195

Irregularly spaced AR and ARCH (ISAR-ARCH) models

Pai, Jeffrey; Polasek, Wolfgang; Kozumi, Hideo - 1995

Persistent link: https://www.econbiz.de/10000911263

Autoregressive moving average models with t and hyperbolic innovations

Polasek, Wolfgang; Pai, Jeffrey - 1998

Persistent link: https://www.econbiz.de/10001372542

The VAR-VARCH model : a Bayesian approach

Polasek, Wolfgang; Kozumi, Hideo - 1995

Persistent link: https://www.econbiz.de/10000573313

Irregularly spaced AR and ARCH (ISAR-ARCH) models

Pai, Jeffrey; Polasek, Wolfgang; Kozumi, Hideo - 1995

Persistent link: https://www.econbiz.de/10000573314

The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?

Oga, Takashi; Polasek, Wolfgang - 2010

Persistent link: https://www.econbiz.de/10008661121

The Asia financial crises and exchange rates : had there been volatility shifts for Asian currencies?

Oga, Takashi; Polasek, Wolfgang - 2010

We analyse the volatility structure of Asian currencies against the U.S. dollar (USD) for the Thai Baht THB, the Philippine Peso PHP, the Indonesian Rupiah IDR and the South Korean Won KRW. Our goal is to check if the characteristics of the volatility dynamics have changed in a K-state switching...

Persistent link: https://www.econbiz.de/10009733810

The VAR-VARCH model : a Bayesian approach

Polasek, Wolfgang; Kozumi, Hideo - 1995

Persistent link: https://www.econbiz.de/10000911268