Bayesian Arbitrage Threshold Analysis
AbstractA 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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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 3/97.
Length: 25 pages
Date of creation: 1997
Date of revision:
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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2003.
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