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A survey of sampling-based Bayesian analysis of financial data

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  • James Sfiridis
  • Alan Gelfand

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.

Suggested Citation

  • James Sfiridis & Alan Gelfand, 2002. "A survey of sampling-based Bayesian analysis of financial data," Applied Mathematical Finance, Taylor & Francis Journals, vol. 9(4), pages 273-291.
    • Handle: RePEc:taf:apmtfi:v:9:y:2002:i:4:p:273-291
    DOI: 10.1080/1350486022000026885
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    References listed on IDEAS

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