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Assessing systematic risk in the S&P500 index between 2000 and 2011: A Bayesian nonparametric approach

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  • Rodriguez, Abel
  • Wang, Ziwei
  • Kottas, Athanasios

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  • Rodriguez, Abel & Wang, Ziwei & Kottas, Athanasios, 2014. "Assessing systematic risk in the S&P500 index between 2000 and 2011: A Bayesian nonparametric approach," Santa Cruz Department of Economics, Working Paper Series qt6dh099g2, Department of Economics, UC Santa Cruz.
    • Handle: RePEc:cdl:ucscec:qt6dh099g2
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    References listed on IDEAS

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    1. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    2. Michelle L. Barnes & Anthony W. Hughes, 2002. "A quantile regression analysis of the cross section of stock market returns," Working Papers 02-2, Federal Reserve Bank of Boston.
    3. Athanasios Kottas & Sam Behseta, 2010. "Bayesian Nonparametric Modeling for Comparison of Single-Neuron Firing Intensities," Biometrics, The International Biometric Society, vol. 66(1), pages 277-286, March.
    4. Fama, Eugene F. & French, Kenneth R., 2007. "The capital asset pricing model: theory and evidence," RAE - Revista de Administração de Empresas, FGV-EAESP Escola de Administração de Empresas de São Paulo (Brazil), vol. 47(2), April.
    5. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
    6. Ishwaran H. & James L. F, 2001. "Gibbs Sampling Methods for Stick Breaking Priors," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 161-173, March.
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