Maximizing equity market sector predictability in a Bayesian time-varying parameter model

DOI10.1016/J.CSDA.2007.09.030MaRDI QIDQ1023643zbMATHOpenAlexFDO

Authors Lorne D. Johnson, Georgios Sakoulis

Publication date 12 June 2009

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2007.09.030

zbMATH Keywords

Kalman filterGibbs samplingasset pricingMarkov switchingbehavioral finance

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A simple and efficient method for variable ranking according to their usefulness for learning
• A unified approach to nonlinearity, structural change, and outliers
• An Intertemporal Capital Asset Pricing Model
• Bayes Factors
• Common risk factors in the returns on stocks and bonds
• Estimating and Testing Linear Models with Multiple Structural Changes
• MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
• Marginal Likelihood from the Gibbs Output
• On Gibbs sampling for state space models
• Robust fitting of mixtures using the trimmed likelihood estimator
• Two Methods for Examining the Stability of Regression Coefficients
• Variable selection in regression models using nonstandard optimisation of information criteria
• What is an oil shock?

Cited in

(3)

• On marginal likelihood computation in change-point models
• Predicting the equity market risk premium: a model selection approach
• Editorial: Special issue on statistical and computational methods in finance

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