, which is shown to be equivalent to a Jeffreys' prior, has under an orthogonal normalization for the selection of pairs of … cointegrated stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal normalization for …

, which is shown to be equivalent to a Jeffreys' prior, has under an orthogonal normalization for the selection of pairs of … cointegrated stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal normalization for …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal normalization for the …

, which is shown to be equivalent to a Jeffreys’ prior, has under an orthogonal normalization for the selection of pairs of … pairs of cointegrated stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …

cointegration model, of pairs of stock prices. We show the effect that using an encompassing prior under an orthogonal normalization … stocks on the basis of Bayes factors. However, the results stress the importance of the orthogonal normalization for the …