Bayesian Cointegrated Vector Autoregression Models Incorporating α-Stable Noise for Inter-Day Price Movements Via Approximate Bayesian Computation
Year of publication: |
2017
|
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Authors: | Peters, Gareth |
Other Persons: | Kannan, Balakrishnan (contributor) ; Lasscock, Ben (contributor) ; Mellen, Chris (contributor) ; Godsill, Simon (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Bayes-Statistik | Bayesian inference | VAR-Modell | VAR model | Kointegration | Cointegration | Schätztheorie | Estimation theory |
Extent: | 1 Online-Ressource (39 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2010 erstellt |
Other identifiers: | 10.2139/ssrn.2980459 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
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