Bayesian Cointegrated Vector Autoregression Models Incorporating alpha-stable Noise for
 Inter-day Price Movements Via Approximate Bayesian Computation

Gareth W. Peters; Balakrishnan Kannan; Ben Lasscock; Chris Mellen; Simon Godsill

doi:10.1214/11-BA628

Bayesian Cointegrated Vector Autoregression Models Incorporating alpha-stable Noise for Inter-day Price Movements Via Approximate Bayesian Computation

Gareth W. Peters, Balakrishnan Kannan, Ben Lasscock, Chris Mellen, Simon Godsill

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	755-792
Journal	Bayesian Analysis
Volume	6
Issue number	4
DOIs	https://doi.org/10.1214/11-BA628
Publication status	Published - 1 Dec 2011

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10.1214/11-BA628

Cite this

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AU - Mellen, Chris

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