Markov Chain Monte Carlo Methods in Financial Econometrics
Journal
Financial Markets and Portfolio Management
ISSN
1555-4961
ISSN-Digital
1555-497X
Type
journal article
Date Issued
2005-12-01
Author(s)
Verhofen, Michael
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.
Language
English
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Springer
Publisher place
Heidelberg
Volume
19
Number
4
Start page
397
End page
405
Pages
9
Subject(s)
Eprints ID
22507