Factor‐augmented Bayesian cointegration models: a case‐study on the soybean crush spread
Author:
Affiliation:
1. Imperial College London UK
2. Heriot‐Watt University Edinburgh UK
3. Rennes School of Business France
Publisher
Wiley
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://onlinelibrary.wiley.com/doi/pdf/10.1111/rssc.12395
Reference54 articles.
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2. Cointegration and asset allocation: a new active hedge fund strategy;Alexander C.;ISMA Centre Discuss. Pap. Finan.,2002
3. Particle Markov chain Monte Carlo methods
4. Bayesian analysis of static and dynamic factor models: An ex-post approach towards the rotation problem
5. Identification and Bayesian Estimation of Dynamic Factor Models
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