Bayesian Arbitrage Threshold Analysis.

A Bayesian estimation procedure is developed for estimating multiple regime vector autoregressive models appropriate for deviations from financial arbitrage relationships. This approach has clear advantages over classical stepwise threshold autoregressive analysis.

MoreLess

Year of publication:	1997
Authors:	Forbes, C.S. ; Kalb, G.R.J. ; Kofman, P.
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	STATISTICS \| PRICING \| FINANCIAL MARKET

Check Google Scholar |

More access options

In German libraries (KVK)

I need help

More details

Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Notes:	Number 3/97 25 pages
Classification:	C11 - Bayesian Analysis ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005581146