Publications [#258239] of Alan E. Gelfand
search .Papers Published
- Sfiridis, J; Gelfand, A. "A survey of sampling-based Bayesian analysis of financial data." Applied Mathematical Finance 9.4 (2002): 273-291. [doi]
(last updated on 2023/06/01)Abstract:
The capability of implementing a complete Bayesian analysis of experimental data has emerged over recent years due to computational advances developed within the statistical community. The objective of this paper is to provide a practical exposition of these methods in the illustrative context of a financial event study. The customary assumption of Gaussian errors underlying development of the model is later supplemented by considering Student-t errors, thus permitting a Bayesian sensitivity analysis. The supplied data analysis illustrates the advantages of the sampling-based Bayesian approach in allowing investigation of quantities beyond the scope of classical methods.