Monotonic effects of characteristics on returns

DOI10.1214/20-AOAS1351zbMATH Open1498.62307MaRDI QIDQ2078731FDOQ2078731

Jared D. Fisher, David W. Puelz, Carlos M. Carvalho

Publication date: 3 March 2022

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

zbMATH Keywords

Bayesian modelingcross-section of returnsposterior summarization

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

Cites Work

• BART: Bayesian additive regression trees
• Random forests
• Model Selection and Estimation in Regression with Grouped Variables
• Common risk factors in the returns on stocks and bonds
• Predictability of stock returns and asset allocation under structural breaks
• A Bayesian Approach to Non-Parametric Monotone Function Estimation
• Power-weighted densities for time series data
• Variable selection in panel models with breaks
• Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective
• Variable selection in seemingly unrelated regressions with random predictors
• Operating Leverage*

Cited In (2)

• Monotone Sharpe ratios and related measures of investment performance
• Predicting COVID-19 hospitalisation using a mixture of Bayesian predictive syntheses

Uses Software

• ranger
• BartPy
• XBART

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