Bayesian arbitrage threshold analysis

Journal of Business and Economic Statistics

Volumn 17, Issue 3, 1999, Pages 364-372

  Forbes, Catherine S ^a   Kalb, Guyonne R J ^b   Kofhian, Paul ^c  

^a MONASH UNIVERSITY   (Australia)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

^c UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Error correction model; Index futures arbitrage; Rao Blackwellized estimator

Indexed keywords

EID: 0033461363     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1999.10524825     Document Type: Article

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