multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one …

This paper shows how one can compute option prices from a Bayesian inference viewpoint, using an econometric model for …

Bayesian statistical methods are naturally oriented towards pooling in a rigorous way information from separate sources … volatility or options prices. We develop a formal Bayesian framework where we can merge the backward looking information as … forecasting options prices out of sample (i.e. one-day ahead) our Bayesian estimators outperform standard forecasts that use …

mixedeffect. A Bayesian strategy, based on the comparison between posterior and predictive Bayesian residuals, is built for …

Bayesian methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors …