available. For this situation, we employ a Bayesian quadrature method because it allows us to incorporate prior assumptions on …

Carlo algorithm to estimate the parameters and the latent variables in an efficient one-step procedure. Via the Bayesian …

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 …

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

We develop Bayesian techniques for estimation and model comparison in a novel Generalised Stochastic Unit Root (GSTUR …