Simon Godsill

University of Cambridge - Department of Engineering

Cambridge

United Kingdom

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Scholarly Papers (1)

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
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Citation 8

Abstract:

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Cointegrated Vector Autoregression, α-stable, Approximate Bayesian Computation