A survey of sampling-based bayesian analysis of financial data

Journal Article

The capability of implementing a complete Bayesian analysis of experimental data has emerged over recent years due to computational advances developed within the statistical community. The objective of this paper is to provide a practical exposition of these methods in the illustrative context of a financial event study. The customary assumption of Gaussian errors underlying development of the model is later supplemented by considering Student-t errors, thus permitting a Bayesian sensitivity analysis. The supplied data analysis illustrates the advantages of the sampling-based Bayesian approach in allowing investigation of quantities beyond the scope of classical methods. © 2002, Copyright Taylor & Francis Group, LLC.

Full Text

Duke Authors

Cited Authors

  • Sfiridis, JM; Gelfand, AE

Published Date

  • January 1, 2002

Published In

Volume / Issue

  • 21 / 1

Start / End Page

  • 273 - 291

Electronic International Standard Serial Number (EISSN)

  • 1549-7879

International Standard Serial Number (ISSN)

  • 1522-6514

Digital Object Identifier (DOI)

  • 10.1080/1350486022000026885

Citation Source

  • Scopus