Bayesian Arbitrage Threshold Analysis
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Other versions of this item:
- Forbes, C.S. & Kalb, G.R.J. & Kofman, P., 1997. "Bayesian Arbitrage Threshold Analysis," Monash Econometrics and Business Statistics Working Papers 3/97, Monash University, Department of Econometrics and Business Statistics.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Kristyna Ters & Jörg Urban, 2018. "Estimating unknown arbitrage costs: evidence from a three-regime threshold vector error correction model," BIS Working Papers 689, Bank for International Settlements.
- Greb, Friederike & Krivobokova, Tatyana & von Cramon-Taubadel, Stephan & Munk, Axel, 2011. "On threshold estimation in threshold vector error correction models," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114599, European Association of Agricultural Economists.
- Tse, Yiuman, 2001. "Index arbitrage with heterogeneous investors: A smooth transition error correction analysis," Journal of Banking & Finance, Elsevier, vol. 25(10), pages 1829-1855, October.
- Robles-Fernandez M. Dolores & Nieto Luisa & Fernandez M. Angeles, 2004. "Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-28, December.
- Lee, Jaeram & Kang, Jangkoo & Ryu, Doojin, 2015. "Common deviation and regime-dependent dynamics in the index derivatives markets," Pacific-Basin Finance Journal, Elsevier, vol. 33(C), pages 1-22.
- Bajo-Rubio, Oscar & Diaz-Roldan, Carmen & Esteve, Vicente, 2006.
"Is the budget deficit sustainable when fiscal policy is non-linear? The case of Spain,"
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Elsevier, vol. 28(3), pages 596-608, September.
- Oscar Bajo-Rubio & Carmen Díaz-Roldán & Vicente Esteve, 2003. "Is the Budget Deficit Sustainable when Fiscal Policy is nonlinear? The Case of Spain, 1961-2001," Economic Working Papers at Centro de Estudios Andaluces E2003/32, Centro de Estudios Andaluces.
- Byeongseon Seo, 2004. "Testing for Nonlinear Adjustment in Smooth Transition Vector Error Correction Models," Econometric Society 2004 Far Eastern Meetings 749, Econometric Society.
- Alexakis, Christos, 2010. "Long-run relations among equity indices under different market conditions: Implications on the implementation of statistical arbitrage strategies," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(4), pages 389-403, October.
- Goldman Elena & Nam Jouahn & Tsurumi Hiroki & Wang Jun, 2013. "Regimes and long memory in realized volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(5), pages 521-549, December.
- Kim, Bong-Han & Chun, Sun-Eae & Min, Hong-Ghi, 2010. "Nonlinear dynamics in arbitrage of the S&P 500 index and futures: A threshold error-correction model," Economic Modelling, Elsevier, vol. 27(2), pages 566-573, March.
- Jaeram Lee & Doojin Ryu, 2016. "Asymmetric Mispricing and Regime-dependent Dynamics in Futures and Options Markets," Asian Economic Journal, East Asian Economic Association, vol. 30(1), pages 47-65, March.
- Hu, Jin-Li & Lin, Cheng-Hsun, 2008. "Disaggregated energy consumption and GDP in Taiwan: A threshold co-integration analysis," Energy Economics, Elsevier, vol. 30(5), pages 2342-2358, September.
- Shively, Philip A., 2003. "The nonlinear dynamics of stock prices," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 505-517.
More about this item
- 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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