15. A Bayesian Approach to Multivariate State Space Modelling: A Study of a Fama–French Asset-Pricing Model with Time-Varying Regressors

  1. Clair L. Alston,
  2. Kerrie L. Mengersen and
  3. Anthony N. Pettitt
  1. Christopher M. Strickland2 and
  2. Philip Gharghori1

Published Online: 30 OCT 2012

DOI: 10.1002/9781118394472.ch15

Case Studies in Bayesian Statistical Modelling and Analysis

Case Studies in Bayesian Statistical Modelling and Analysis

How to Cite

Strickland, C. M. and Gharghori, P. (2012) A Bayesian Approach to Multivariate State Space Modelling: A Study of a Fama–French Asset-Pricing Model with Time-Varying Regressors, in Case Studies in Bayesian Statistical Modelling and Analysis (eds C. L. Alston, K. L. Mengersen and A. N. Pettitt), John Wiley & Sons, Ltd, Chichester, UK. doi: 10.1002/9781118394472.ch15

Editor Information

  1. School of Mathematical Sciences, Queensland University of Technology, Brisbane, Australia

Author Information

  1. 1

    Department of Accounting and Finance, Monash University, Melbourne, Australia

  2. 2

    School of Mathematical Sciences, Queensland University of Technology, Brisbane, Australia

Publication History

  1. Published Online: 30 OCT 2012
  2. Published Print: 23 NOV 2012

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9781119941828

Online ISBN: 9781118394472

SEARCH

Options for accessing this content:

  • If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
    http://wiley.force.com/Interface/ContactJournalCustomerServices_V2.
  • Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
  • You can purchase online access to this Chapter for a 24-hour period (price varies by title)
    • If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
    • New Users: Please register, then proceed to purchase the article.

Login via OpenAthens

or

Search for your institution's name below to login via Shibboleth.

Please register to:

  • Save publications, articles and searches
  • Get email alerts
  • Get all the benefits mentioned below!

Register now >