A Bayesian quantile time series model for asset returns

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
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:	15 Nov 2024 23:18
URI:	http://eprints.lse.ac.uk/id/eprint/105610

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