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

Article, Preprint, Other literature type English OPEN
Rodriguez, Abel; Wang, Ziwei; Kottas, Athanasios; (2014)
  • Publisher: eScholarship, University of California
  • Journal: issn: 1932-6157
  • Related identifiers: doi: 10.1214/16-AOAS987
  • Subject: Social and Behavioral Sciences | nonparametric Bayes | nonhomogeneous Poisson process | Dirichlet process mixture modeling | systematic risk

We develop a Bayesian nonparametric model to assess the effect of systematic risks on multiple financial markets, and apply it to understand the behavior of the S&P500 sector indexes between January 1, 2000 and December 31, 2011. More than prediction, our main goal is t... View more
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