Factor-augmented Bayesian cointegration models: a case-study on the soybean crush spread

DOI10.1111/RSSC.12395MaRDI QIDQ6642182zbMATH OpenWikidataFDO

Authors MacIej Marowka, Gareth W. Peters, Nikolas Kantas, Guillaume Bagnarosa

Publication date 21 November 2024

Published in Journal of the Royal Statistical Society. Series C. Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/RSSC.12395

zbMATH Keywords

Bayesian inferenceMarkov chain Monte Carlo methodssoybean crush spreadstate space models with cointegration

Mathematics Subject Classification ID

Applications of statistics (62Pxx)

Cited in

(1)

• Bayesian copula factor autoregressive models for time series mixed data

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