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Bayesian Arbitrage Threshold Analysis

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References

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1997Threshold Cointegration1,042 cited
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1998A threshold error-correction model for intraday futures and index returns164 cited
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1996Parameter uncertainty and impulse response analysis87 cited

Cited by

2006Is the budget deficit sustainable when fiscal policy is non-linear? The case of Spain69 cited
2015Common deviation and regime-dependent dynamics in the index derivatives markets35 cited
2010Long-run relations among equity indices under different market conditions: Implications on the implementation of statistical arbitrage strategies21 cited
2013Regimes and long memory in realized volatility20 cited
2018Threshold cointegration in international exchange rates:A Bayesian approach17 cited

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