Bayesian variable selection and model averaging in the arbitrage pricing theory model

DOI10.1016/J.CSDA.2009.09.034MaRDI QIDQ2445778zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 14 April 2014

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

Full work available at URL https://doi.org/10.1016/j.csda.2009.09.034

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Recommendations

• Bayes Model Averaging with Selection of Regressors
• Bayesian inference for ARFIMA models
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE
• Bayesian portfolio selection with multi-variate random variance models
• Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search
• scientific article; zbMATH DE number 7387555
• Bayesian model selection and model averaging

Cites work

• A unified beta pricing theory
• Adaptive sampling for Bayesian variable selection
• Are more data always better for factor analysis?
• Bayes Model Averaging with Selection of Regressors
• Bayesian Variable Selection in Linear Regression
• Benchmark priors for Bayesian model averaging.
• Calibration and empirical Bayes variable selection
• Common risk factors in the returns on stocks and bonds
• Consistent variable selection in large panels when factors are observable
• Determining the Number of Factors in Approximate Factor Models
• Efficient algorithms for computing the best subset regression models for large-scale problems
• Efficient Bayesian estimation of multivariate state space models
• scientific article; zbMATH DE number 3597760 (Why is no real title available?)
• scientific article; zbMATH DE number 1250597 (Why is no real title available?)
• scientific article; zbMATH DE number 472921 (Why is no real title available?)
• scientific article; zbMATH DE number 1034042 (Why is no real title available?)
• scientific article; zbMATH DE number 1522700 (Why is no real title available?)
• scientific article; zbMATH DE number 3221764 (Why is no real title available?)
• Ideal spatial adaptation by wavelet shrinkage
• Inferential Theory for Factor Models of Large Dimensions
• Mixtures of g Priors for Bayesian Variable Selection
• Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
• Multivariate Bayesian Variable Selection and Prediction
• Nonparametric regression using Bayesian variable selection
• Penalized factor mixture analysis for variable selection in clustered data
• Variable selection in regression models using nonstandard optimisation of information criteria

Cited in

(3)

• Special issue on variable selection and robust procedures
• scientific article; zbMATH DE number 1140588 (Why is no real title available?)
• Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market

This page was built for publication: Bayesian variable selection and model averaging in the arbitrage pricing theory model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2445778)