Bayesian analysis of the consumption CAPM

DOI10.1016/S0731-9053(08)23020-3MaRDI QIDQ3573009zbMATH OpenFDO

Authors Veni Arakelian, Efthymios G. Tsionas

Publication date 30 June 2010

Published in Bayesian Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0731-9053(08)23020-3

Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Bayesian inference (62F15) Statistical methods; risk measures (91G70)

Recommendations

• A note on Bayesian inference in asset pricing.
• On the determination of general scientific models with application to asset pricing
• TESTING THE CONSUMPTION CAPM WITH HEAVY-TAILED PRICING ERRORS
• Bayesian regression diagnostics with applications to international consumption and income data
• Consumption asset pricing with stable shocks---exploring a solution and its implications for mean equity returns

Cited in

(7)

• Bayesian regression diagnostics with applications to international consumption and income data
• Retirement consumption puzzle in Malaysia: evidence from Bayesian quantile regression model
• A note on an interpretation to consumption-based CAPM
• Maximum entropy analysis of consumption-based capital asset pricing model and volatility
• A note on Bayesian inference in asset pricing.
• Identifying long-run risks: a Bayesian mixed-frequency approach
• On the determination of general scientific models with application to asset pricing

This page was built for publication: Bayesian analysis of the consumption CAPM

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3573009)