Modelling long-term investment returns via Bayesian infinite mixture time series models

DOI10.1080/03461230701862889zbMath1224.91068OpenAlexW2064459221MaRDI QIDQ3077721

John W. Lau, Tak Kuen Siu

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

zbMATH Keywords

outliers detectionquantile-based risk measuresconditional tail expectationweighted Chinese restaurant processBayesian MAR modelsBayesian mixture AR-ARCH modelsclustering of returnsDirichlet prior process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Bayesian inference (62F15) Corporate finance (dividends, real options, etc.) (91G50)

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