country and industry factors. A sparse factor structure linking assets and risk factors is built using Bayesian variable …

country and industry factors. A sparse factor structure linking assets and risk factors is built using Bayesian variable …

This paper focuses on the Bayesian model average (BMA) using the power-expected-posterior prior in objective Bayesian … variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and …

This paper focuses on the Bayesian model average (BMA) using the power-expected-posterior prior in objective Bayesian … variable selection under normal linear models. We derive a BMA point estimate of a predicted value, and present computation and …