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20072010
most citedApplications of physical methods in high-frequency futures markets

7 citations · 9 across the 5 of their papers we have counts for

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q-fin.CP2010

Model Selection and Adaptive Markov chain Monte Carlo for Bayesian Cointegrated VAR model

Gareth W. Peters, Balakrishnan Kannan, Ben Lasscock +1

This paper develops a matrix-variate adaptive Markov chain Monte Carlo (MCMC) methodology for Bayesian Cointegrated Vector Auto Regressions (CVAR). We replace the popular approach…