We utilize Bayesian model averaging to estimate a stochastic discount factor (SDF) for single-stock options. A Bayesian … model averaging SDF outperforms reduced-form benchmark models in-sample and out-of-sample in pricing option return anomalies …

studies. Utilising Bayesian Model Averaging, weighted by the inverse number of estimates, we identify thirteen significant …

-exporting members. Bayesian model averaging (BMA) and regularized linear regression (RLR) are employed to address uncertainties arising …

Bayesian Model Averaging (BMA) to identify which variables are essential for further analysis. We then conduct a …