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.

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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

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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://ebvufind01.dmz1.zbw.eu/10005581146