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.

Duke Authors

Cited Authors

  • Sfiridis, J; Gelfand, A

Published Date

  • 2002

Published In

  • Applied Mathematical Finance

Volume / Issue

  • 9 / 4

Start / End Page

  • 273 - 291