Events and Meetings of Italian Statistical Society, Advances in Latent Variables - Methods, Models and Applications

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A Bayesian Stochastic Correlation Model for Exchange Rates
Roberto Casarin, Marco Tronzano, Domenico Sartore

Last modified: 2013-06-14

Abstract


This paper applies a Bayesian multivariate stochastic correlation model to the detection of correlation regimes in exchange rates. We follow a MCMC approach to parameter and latent variable estimation and provide evidence of significant differences between volatility and correlation dynamics.

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