Assessing systematic risk in the S\&P500 index between 2000 and 2011: a Bayesian nonparametric approach

DOI10.1214/16-AOAS987zbMath1416.62591MaRDI QIDQ2404424

Abel Rodríguez, Ziwei Wang, Athanasios Kottas

Publication date: 18 September 2017

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

Full work available at URL: https://projecteuclid.org/euclid.aoas/1500537714

zbMATH Keywords

nonhomogeneous Poisson processnonparametric Bayessystematic riskDirichlet process mixture modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Bayesian inference (62F15)

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