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 journalArticle

7 Citations (Scopus)
Original languageEnglish
Pages (from-to)755-792
JournalBayesian Analysis
Volume6
Issue number4
DOIs
Publication statusPublished - 1 Dec 2011

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