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

DOI10.1080/03461230701862889zbMath1224.91068MaRDI 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 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

Mathematics Subject Classification ID

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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Innovation, growth and aggregate volatility from a Bayesian nonparametric perspective, A Monte Carlo Markov chain algorithm for a class of mixture time series models, Bayesian semiparametric stochastic volatility modeling, A Bayesian nonparametric approach to modeling market share dynamics

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