Open AccessAssessing systematic risk in the S&P500 index between 2000 and 2011: A Bayesian nonparametric approach
Author(s) -
Abel Rodríguez,
Ziwei Wang,
Athanasios Kottas
Publication year - 2017
Publication title -
annals of applied statistics/the annals of applied statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.674
H-Index - 75
eISSN - 1941-7330
pISSN - 1932-6157
DOI - 10.1214/16-aoas987
Subject(s) - systematic risk , econometrics , index (typography) , nonparametric statistics , bayesian probability , dirichlet process , economics , statistics , computer science , mathematics , world wide web