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Bayesian nonparametric measurement of factor betas and clustering with application to hedge fund returns

Garay, Urbi; Horst, Enrique ter; Molina, German; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-23

We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...

Persistent link: https://www.econbiz.de/10011505836

Forecasting the price of gold using dynamic model averaging

Aye, Goodness C.; Gupta, Rangan; Hammoudeh, Shawkat; … - In: International review of financial analysis 41 (2015), pp. 257-266

Persistent link: https://www.econbiz.de/10011508954

Unobserved heterogeneity in hospitality and tourism research

Assaf, A. Georges; Oh, Haemoon; Tsionas, Efthymios G. - In: Journal of travel research : a quarterly publication of … 55 (2016) 6, pp. 774-788

Persistent link: https://www.econbiz.de/10011513135

A Bayesian primer for the organizational sciences : the "two sources" and an introduction to BugsXLA

Jebb, Andrew T.; Woo, Sang Eun - In: Organizational research methods : ORM 18 (2015) 1, pp. 92-132

Persistent link: https://www.econbiz.de/10010475414

Pedestrian fatality and natural light : evidence from South Africa using a Bayesian approach

Das, Sonali - In: Economic modelling 38 (2014), pp. 311-315

Persistent link: https://www.econbiz.de/10010419070

Modelling LGD for unsecured retail loans using Bayesian methods

Bijak, Katarzyna; Thomas, Lyn C. - In: Journal of the Operational Research Society : OR 66 (2015) 2, pp. 342-352

Persistent link: https://www.econbiz.de/10010487508

A Bayesian approach for predicting material accounting misstatements

Xu, Feng; Zhu, Zinan - In: Asia-Pacific journal of accounting & economics : APJAE 21 (2014) 4, pp. 349-367

Persistent link: https://www.econbiz.de/10010411613

Can we beat the random-walk model for the South African rand-US dollar and South African rand-UK pound exchange rates? : evidence from dynamic model averaging

De Bruyn, Riané; Gupta, Rangan; Van Eyden, Reneé - In: Emerging markets finance & trade : a journal of the … 51 (2015) 3, pp. 502-524

Persistent link: https://www.econbiz.de/10011403785

Forecasting with high dimensional panel VARs

Koop, Gary; Korobilis, Dimitris - 2015

Persistent link: https://www.econbiz.de/10011413079

Forecasting China's foreign exchange reserves using dynamic model averaging : the roles of macroeconomic fundamentals, financial stress and economic uncertainty

Gupta, Rangan; Hammoudeh, Shawkat; Kim, Won Joong; … - In: The North American journal of economics and finance : a … 28 (2014), pp. 170-189

Persistent link: https://www.econbiz.de/10010461966