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Factorâaugmented Bayesian cointegration models: a caseâstudy on the soybean crush spread
Marowka, Maciej, Peters, Gareth W., Kantas, Nikolas, Bagnarosa, GuillaumeVolume:
69
Journal:
Journal of the Royal Statistical Society: Series C (Applied Statistics)
DOI:
10.1111/rssc.12395
Date:
April, 2020
File:
PDF, 645 KB
2020