Modelling long-term investment returns via Bayesian infinite mixture time series models
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Publication:3077721
DOI10.1080/03461230701862889zbMath1224.91068MaRDI QIDQ3077721
Publication date: 22 February 2011
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461230701862889
outliers detection; quantile-based risk measures; conditional tail expectation; weighted Chinese restaurant process; Bayesian MAR models; Bayesian mixture AR-ARCH models; clustering of returns; Dirichlet prior process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
91G70: Statistical methods; risk measures
62F15: Bayesian inference
91G50: Corporate finance (dividends, real options, etc.)
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