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Testing Conditional Asset Pricing Models Using a Markov Chain Monte Carlo Approach

Ammann, Manuel; Verhofen, Michael - In: European financial management : the journal of the … 14 (2008) 3, pp. 391-418

Persistent link: https://www.econbiz.de/10008052077

Tactical Industry Allocation and Model Uncertainty

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The Effect of market regimes on style allocation

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Do implied volatilities predict stock returns?

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Markov chain Monte Carlo methods in financial econometrics

Verhofen, Michael - In: Financial markets and portfolio management 19 (2005) 3, pp. 397-405

Persistent link: https://www.econbiz.de/10003398595

Bayesian inference in empirical finance

Verhofen, Michael - 2006

Persistent link: https://www.econbiz.de/10004874597

Massimo Morini: Understanding and managing model risk: a practical guide for quants, traders and validators

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Bernd Scherer, Douglas Martin : Introduction to Modern Portfolio Optimization

Verhofen, Michael - In: Financial markets and portfolio management 19 (2005) 3, pp. 325-326

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Book reviews

Wyss, Rico von; Verhofen, Michael; Brommundt, Bernd - In: Financial Markets and Portfolio Management 18 (2004) 4, pp. 458-461

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Markov Chain Monte Carlo Methods in Financial Econometrics

Verhofen, Michael - In: Financial Markets and Portfolio Management 19 (2005) 4, pp. 397-405

Markov Chain Monte Carlo (MCMC) methods have become very popular in financial econometrics during the last years. MCMC methods are applicable where classical methods fail. In this paper, we give an introduction to MCMC and present recent empirical evidence. Finally, we apply MCMC methods to...

Persistent link: https://www.econbiz.de/10005547692