A survey of sampling-based Bayesian analysis of financial data

DOI10.1080/1350486022000026885MaRDI QIDQ4483615zbMATH OpenOpenAlexFDO

Authors James M. Sfiridis, Alan E. Gelfand

Publication date 2002

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486022000026885

zbMATH Keywords

Bayesian analysisGibbs samplerMarkov chain Monte Carlo methodevent studies

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05)

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Cites work

• scientific article; zbMATH DE number 854960 (Why is no real title available?)
• Inference from iterative simulation using multiple sequences
• Markov Chain Monte Carlo Convergence Diagnostics: A Comparative Review
• Markov chains for exploring posterior distributions. (With discussion)
• Monte Carlo sampling methods using Markov chains and their applications
• On the use of panel data in stochastic frontier models with improper priors
• Sampling-Based Approaches to Calculating Marginal Densities
• The pricing of options and corporate liabilities

Cited in

(1)

• Bayesian statistical computations of nonlinear financial time series models: A survey with illustrations

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