Bayesian Variable Selection of Risk Factors in the APT Model
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KeywordsVariable selection; Posterior density; Bayes factors; MCMC; APT models;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-02-09 (All new papers)
- NEP-FMK-2008-02-09 (Financial Markets)
- NEP-ORE-2008-02-09 (Operations Research)
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