An Application of Bayesian Seemingly Unrelated Regression Models with Flexible Tails

DOI10.1007/978-3-319-54084-9_11zbMath1364.62169OpenAlexW2608488854MaRDI QIDQ5267861

S. T. Boris Choy, Charles Au

Publication date: 13 June 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-54084-9_11

zbMATH Keywords

Markov chain Monte Carlo (MCMC)capital asset pricing model (CAPM)modified multivariate \(t\)-distributionscale mixtures of normal (SMN)

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

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