Monotonic effects of characteristics on returns

DOI10.1214/20-AOAS1351zbMath1498.62307MaRDI QIDQ2078731

Jared D. Fisher, David W. Puelz, Carlos Marinho Carvalho

Publication date: 3 March 2022

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

zbMATH Keywords

Bayesian modelingcross-section of returnsposterior summarization

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Bayesian inference (62F15)

Uses Software

• ranger
• BartPy
• XBART

Cites Work

• BART: Bayesian additive regression trees
• Power-weighted densities for time series data
• Predictability of stock returns and asset allocation under structural breaks
• Variable selection in seemingly unrelated regressions with random predictors
• Variable selection in panel models with breaks
• Operating Leverage*
• A Bayesian Approach to Non-Parametric Monotone Function Estimation
• Decoupling Shrinkage and Selection in Bayesian Linear Models: A Posterior Summary Perspective
• Model Selection and Estimation in Regression with Grouped Variables
• Common risk factors in the returns on stocks and bonds
• Random forests

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