Griffin, Jim E. and Mitrodima, Gelly ORCID: 0009-0007-5360-5221 (2020) A Bayesian quantile time series model for asset returns. Journal of Business and Economic Statistics. ISSN 0735-0015
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Abstract
We consider jointly modeling a finite collection of quantiles over time. Formal Bayesian inference on quantiles is challenging since we need access to both the quantile function and the likelihood. We propose a flexible Bayesian time-varying transformation model, which allows the likelihood and the quantile function to be directly calculated. We derive conditions for stationarity, discuss suitable priors, and describe a Markov chain Monte Carlo algorithm for inference. We illustrate the usefulness of the model for estimation and forecasting on stock, index, and commodity returns.
Item Type: | Article |
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Official URL: | https://www.tandfonline.com/toc/ubes20/current |
Additional Information: | © 2020 Informa UK Limited |
Divisions: | Statistics |
Subjects: | H Social Sciences > HA Statistics Q Science > QA Mathematics H Social Sciences > HB Economic Theory |
Date Deposited: | 10 Jul 2020 11:57 |
Last Modified: | 04 Oct 2024 19:15 |
URI: | http://eprints.lse.ac.uk/id/eprint/105610 |
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