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A Bayesian quantile time series model for asset returns

Griffin, Jim E. and Mitrodima, Gelly (2020) A Bayesian quantile time series model for asset returns. Journal of Business and Economic Statistics. ISSN 0735-0015

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Identification Number: 10.1080/07350015.2020.1766470

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
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: 20 Jul 2020 07:57
URI: http://eprints.lse.ac.uk/id/eprint/105610

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