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q-fin.ST2010
Bayesian Cointegrated Vector Autoregression models incorporating Alpha-stable noise for inter-day price movements via Approximate Bayesian Computation
Gareth W. Peters, Balakrishnan B. Kannan, Ben Lasscock +2
We consider a statistical model for pairs of traded assets, based on a Cointegrated Vector Auto Regression (CVAR) Model. We extend standard CVAR models to incorporate estimation of…
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…