Lee, Sik-Yum; Poon, Wai-Yin; Song, Xin-Yuan - In: Quantitative Finance 7 (2007) 3, pp. 343-356
The factor analysis model has been widely applied to study finance problems. The purpose of this paper is to introduce a Bayesian approach for analysing the factor analysis model. The advantages of the proposed Bayesian approach over the classical maximum likelihood rest on its capability to...