Modelling long-term investment returns via Bayesian infinite mixture time series models

Scandinavian Actuarial Journal

Volumn , Issue 4, 2008, Pages 243-282

  Lau, John W ^a   Siu, Tak Kuen ^b  

^a UNIVERSITY OF BRISTOL   (United Kingdom)

^b MAXWELL INSTITUTE FOR MATHEMATICAL SCIENCES   (United Kingdom)

Author keywords

Bayesian MAR models; Bayesian mixture AR ARCH models; Clustering of returns; Conditional tail expectation; Dirichlet prior process; Outliers detection; Quantile based risk measures; Weighted Chinese restaurant process

Indexed keywords

EID: 70350331508     PISSN: 03461238     EISSN: 16512030     Source Type: Journal    
DOI: 10.1080/03461230701862889     Document Type: Article

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