Comparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models
Year of publication: |
2011
|
---|---|
Authors: | Shen, Xiangjin ; Tsurumi, Hiroki |
Publisher: |
New Brunswick, NJ : Rutgers University, Department of Economics |
Subject: | Capital Asset Pricing Model | Modellierung | Stochastischer Prozess | Bayes-Statistik | Monte-Carlo-Methode | Theorie | deviance information criterion | cumulative density of the mean squared errors of forecast | Markov chain Monte Carlo algorithms | block bootstrap | generalized methods of moments | conditional Kolmogorov test | CIR and Vasicek models |
Series: | Working Paper ; 2011-26 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 662140206 [GVK] hdl:10419/59503 [Handle] RePEc:rut:rutres:201126 [RePEc] |
Classification: | C1 - Econometric and Statistical Methods: General ; C5 - Econometric Modeling ; G0 - Financial Economics. General |
Source: |
-
Shen, Xiangjin, (2011)
-
Shen, Xiangjin, (2011)
-
Cai, Lili, (2011)
- More ...
-
Comparison of parametric and semi-parametric binary response models
Shen, Xiangjin, (2013)
-
Comparison of Bayesian and sample theory parametric and semiparametric binary response models
Shen, Xiangjin, (2022)
-
Comparison of parametric and semi-parametric binary response models
Shen, Xiangjin, (2013)
- More ...