On the determination of general scientific models with application to asset pricing

DOI10.1198/JASA.2009.0008zbMATH Open1390.62334OpenAlexW2063620866MaRDI QIDQ5256111FDOQ5256111

Authors: A. Ronald Gallant, Robert E. McCulloch 

Publication date: 22 June 2015

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jasa.2009.0008

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zbMATH Keywords

Markov chain Monte Carloestimationscientific modelsBayesian inferences

Mathematics Subject Classification ID

Bayesian inference (62F15) Applications of statistics to economics (62P20)

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• A discrete-time model for daily S\&P500 returns and realized variations: jumps and leverage effects
• Generalized aggregation of misspecified models: with an application to asset pricing
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• Bayesian indirect inference using a parametric auxiliary model
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
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