Bayesian analysis of the consumption CAPM

DOI10.1016/S0731-9053(08)23020-3zbMATH Open1189.91221MaRDI QIDQ3573009FDOQ3573009

Authors: Veni Arakelian, Efthymios G. Tsionas 

Publication date: 30 June 2010

Published in: Bayesian Econometrics (Search for Journal in Brave)

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Mathematics Subject Classification ID

Bayesian inference (62F15) Sampling theory, sample surveys (62D05) Statistical methods; risk measures (91G70)

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• Identifying long-run risks: a Bayesian mixed-frequency approach
• Retirement consumption puzzle in Malaysia: evidence from Bayesian quantile regression model
• On the determination of general scientific models with application to asset pricing
• Bayesian regression diagnostics with applications to international consumption and income data
• Maximum entropy analysis of consumption-based capital asset pricing model and volatility
• A note on an interpretation to consumption-based CAPM
• A note on Bayesian inference in asset pricing.

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