Osiewalski, Krzysztof; Osiewalski, Jacek - In: Central European Journal of Economic Modelling and … 5 (2013) 1, pp. 65-83
We develop a fully Bayesian framework for analysis and comparison of two competing approaches to modelling daily prices on different markets. The first approach, prevailing in financial econometrics, amounts to assuming that logarithms of prices behave like a multivariate random walk; this...