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Markov Chain Monte Carlo Methods in Financial Econometrics

Michael Verhofen

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abstract Markov Chain Monte Carlo (MCMC) methods have become very popular in financial econometrics during the last years. MCMC methods are applicable where classical methods such as maximum likelihood fail. In this paper, we give an introduction into MCMC and present recent empirical evidence. Finally, we apply MCMC methods to portfolio choice to account for parameter uncertainty and to incorporate different degrees of belief in an asset pricing model.
   
type journal paper
   
keywords
   
language English
kind of paper journal article
date of appearance 1-12-2005
journal Financial Markets and Portfolio Management
publisher Springer (New York)
ISSN 1555-4961
ISSN (online) 1555-497X
number of issue 4
page(s) 397-405
review blind review
   
citation Verhofen, M. (2005). Markov Chain Monte Carlo Methods in Financial Econometrics. Financial Markets and Portfolio Management(4), 397-405.