Bayesian cointegrated vector autoregression models incorporating \(\alpha\)-stable noise for inter-day price movements via approximate Bayesian computation

DOI10.1214/11-BA628zbMath1330.62374arXiv1008.0149OpenAlexW2963623862MaRDI QIDQ2634120

Ben Lasscock, Chris Mellen, Gareth W. Peters, B. Kannan, Simon J. Godsill

Publication date: 8 February 2016

Published in: Bayesian Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1008.0149

zbMATH Keywords

approximate Bayesian computation \(\alpha\)-stable cointegrated vector autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)

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