Bayesian Variable Selection of Risk Factors in the APT Model
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References listed on IDEAS
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Cited by:
- Rachida Ouysse & Chris Nicholas, 2008. "Time Varying Determinants of Cross-Country Growth," Discussion Papers 2008-03, School of Economics, The University of New South Wales.
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Keywords
Variable selection; Posterior density; Bayes factors; MCMC; APT models;JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2008-02-09 (Financial Markets)
- NEP-ORE-2008-02-09 (Operations Research)
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