Parameter Estimation Risk in Asset Pricing and Risk Management: A Bayesian Approach

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Tunaru, Radu; Zheng, Teng;
(2017)

Parameter estimation risk is non-trivial in both asset pricing and risk management. We adopt a Bayesian estimation paradigm supported by the Markov Chain Monte Carlo inferential techniques to incorporate parameter estimation risk in financial modelling. In option pricin... View more
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