Bayesian Arbitrage Threshold Analysis

Catherine Forbes, Guyonne Kalb and P. Kofman

No 3/97, Monash Econometrics and Business Statistics Working Papers from Monash University, Department of Econometrics and Business Statistics

Abstract: A Bayesian estimation procedure is developed for estimating multiple regime vector autoregressive models appropriate for deviations from financial arbitrage relationships. This approach has clear advantages over classical stepwise threshold autoregressive analysis.

Keywords: STATISTICS; PRICING; FINANCIAL MARKET (search for similar items in EconPapers)
JEL-codes: C11 G13 (search for similar items in EconPapers)
Pages: 25 pages
Date: 1997
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Journal Article: Bayesian Arbitrage Threshold Analysis (1999)
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