Testing conditional asset pricing models using a Markov Chain Monte Carlo approach
Year of publication: |
2008
|
---|---|
Authors: | Ammann, Manuel ; Verhofen, Michael |
Published in: |
European financial management : the journal of the European Financial Management Association. - Oxford : Wiley-Blackwell, ISSN 1354-7798, ZDB-ID 1235378-4. - Vol. 14.2008, 3, p. 391-418
|
Subject: | CAPM | Markov-Kette | Markov chain | Monte-Carlo-Simulation | Monte Carlo simulation | Bayes-Statistik | Bayesian inference |
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