Purpose – The purpose of this paper is to examine the effects of parameter uncertainty in the returns process with regime shifts on optimal portfolio choice over the long run for a static buy-and-hold investor who is investing in industry portfolios. Design/methodology/approach – This paper...

The paper deals with the Bayesian sequential analysis of clinical trials and the related predictive approach in a particularly innovative fashion. We propose a unified methodology for sequential clinical trials under a Bayesian paradigm. The idea is to make predictive inference based on the data...

We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We...

The Bayesian estimators for the unknown parameters of the bivariate Marshall–Olkin exponential distribution under noninformative priors have been considered and several reference priors have been derived. A class of priors is found by matching the coverage probability of one-side Bayesian...

Establishing adequacy of psychometric properties of an instrument involves acquisition and evaluation of evidence based on item content and internal structure. Content validity evidence consists of subject matter experts providing quantitative ratings of the extent to which items are a...

This paper examines the usefulness of a more refined business cycle classification for monthly industrial production (IP), beyond the usual distinction between expansions and contractions. Univariate Markov-switching models show that a three regime model is more appropriate than a model with...

Starting from the asset pricing approach of Engel and West, we examine the degree to which fundamentals can explain exchange rate fluctuations. We show that it is not possible to obtain sharp inferences about the relative contribution of fundamentals using only data on observed monetary...

This paper builds on recent research that focuses on regression modeling of continuous bounded data, such as proportions measured on a continuous scale. Specifically, it deals with beta regression models with mixed effects from a Bayesian approach. We use a suitable parameterization of the beta...

In energy and environment field models are constructed, in general, based on well-defined physical phenomena and properties. Calibration and uncertainty analysis hold a particular interest because models represent a simplification of reality and, therefore, it is necessary to quantify to what...

Purpose – The purpose of this paper is to examine the effects of parameter uncertainty in the returns process with regime shifts on optimal portfolio choice over the long run for a static buy-and-hold investor who is investing in industry portfolios. Design/methodology/approach – This paper...