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

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Keywords:

  • Bayesian approach to multivariate SSM;
  • state space framework, in time series modelling;
  • SSMs and Bayesian inference, using MCMC;
  • Bayesian in linear Gaussian multivariate SSM estimation;
  • Fama–French asset-pricing, and time-varying regressors;
  • CAPM, and asset pricing in financial markets;
  • Fama–French model, one-factor CAPM augmentation;
  • time-varying Fama–French model;
  • Bayesian inference, uncertainty through posterior distribution;
  • three model comparison using BIC

Summary

This chapter contains sections titled:

  • Introduction

  • Case study: Asset pricing in financial markets

  • Time-varying Fama–French model

  • Bayesian estimation

  • Analysis

  • Conclusion

  • References