A survey of sampling-based Bayesian analysis of financial data
Publication
, Journal Article
Sfiridis, J; Gelfand, A
Published in: Applied Mathematical Finance
2002
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 Scholars
Published In
Applied Mathematical Finance
Publication Date
2002
Volume
9
Issue
4
Start / End Page
273 / 291
Related Subject Headings
- Finance
- 1502 Banking, Finance and Investment
- 0103 Numerical and Computational Mathematics
- 0102 Applied Mathematics
Citation
APA
Chicago
ICMJE
MLA
NLM
Sfiridis, J., & Gelfand, A. (2002). A survey of sampling-based Bayesian analysis of financial data. Applied Mathematical Finance, 9(4), 273–291.
Sfiridis, James, and Alan Gelfand. “A survey of sampling-based Bayesian analysis of financial data.” Applied Mathematical Finance 9, no. 4 (2002): 273–91.
Sfiridis J, Gelfand A. A survey of sampling-based Bayesian analysis of financial data. Applied Mathematical Finance. 2002;9(4):273–91.
Sfiridis, James, and Alan Gelfand. “A survey of sampling-based Bayesian analysis of financial data.” Applied Mathematical Finance, vol. 9, no. 4, 2002, pp. 273–91.
Sfiridis J, Gelfand A. A survey of sampling-based Bayesian analysis of financial data. Applied Mathematical Finance. 2002;9(4):273–291.
Published In
Applied Mathematical Finance
Publication Date
2002
Volume
9
Issue
4
Start / End Page
273 / 291
Related Subject Headings
- Finance
- 1502 Banking, Finance and Investment
- 0103 Numerical and Computational Mathematics
- 0102 Applied Mathematics