Maximizing equity market sector predictability in a Bayesian time-varying parameter model
type: Item
instance of: scholarly article
title: Maximizing equity market sector predictability in a Bayesian time-varying parameter model
zbMATH Open document ID: 1452.62772
author: Lorne D. Johnson
author: Georgios Sakoulis
published in: Computational Statistics and Data Analysis
publication date: 2009-06-12T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62-08
zbMATH DE Number: 5564689
zbMATH Keywords: asset pricing
zbMATH Keywords: Gibbs sampling
zbMATH Keywords: Markov switching
zbMATH Keywords: behavioral finance
zbMATH Keywords: Kalman filter
MaRDI profile type: Publication
full work available at URL: j.csda.2007.09.030
OpenAlex ID: W2042286782
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DOI: 10.1016/J.CSDA.2007.09.030
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description: scientific article; zbMATH DE number 5564689