This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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214
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Type:
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Invited
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Date/Time:
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Monday, August 2, 2010 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305975 |
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Title:
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Complete and Incomplete Bayesian Models for Financial Time Series
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Author(s):
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John Geweke*+
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Companies:
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University of Technology, Sydney
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Address:
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645 Harris Street, Ultimo, Sydney NSW 2007, , Australia
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Keywords:
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Bayesian ;
time series ;
financial ;
asset returns ;
significance test ;
prediction
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Abstract:
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This paper introduces the idea of an incomplete Bayesian model, which is a (possibly incoherent) prior predictive distribution for sample moments. Conventional complete Bayesian models also provide prior distributions for sample moments and consequently formal comparison of completely and incomplete models can be conducted by means of posterior odds ratios. This provides a logically consistent and workable Bayesian alternative to non-Bayesian significance tests and is an effective tool in the process of model development. These ideas are illustrated using three well-known alternative models for monthly S&P 500 index returns.
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