Ben Lasscock

affiliation not provided to SSRN

SCHOLARLY PAPERS

2

DOWNLOADS

55

SSRN CITATIONS

4

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Bayesian Cointegrated Vector Autoregression Models Incorporating α-Stable Noise for Inter-Day Price Movements Via Approximate Bayesian Computation

Number of pages: 39 Posted: 05 Jun 2017
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, affiliation not provided to SSRN, affiliation not provided to SSRN, affiliation not provided to SSRN and University of Cambridge - Department of Engineering
Downloads 28 (518,024)
Citation 8

Abstract:

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Cointegrated Vector Autoregression, α-stable, Approximate Bayesian Computation

2.

Model Selection and Adaptive Markov Chain Monte Carlo for Bayesian Cointegrated VAR Model

Number of pages: 24 Posted: 05 Jun 2017
Department of Actuarial Mathematics and Statistics, Heriot-Watt University, affiliation not provided to SSRN, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 27 (523,522)
Citation 1

Abstract:

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Cointegrated Vector Auto Regression, Adaptive Markov chain Monte Carlo, Bayesian Inference, Bayes Factors, Savage-Dickey