The likelihood of various stock market return distributions. II: Empirical results. (English) Zbl 0876.90018
Summary: [For part I see the previous paper by the same author, ibid. 13(2), 207-219 (1996; Zbl 0876.90018).]
The present article shows how Bayesians should shift beliefs among a family of models concerning die probability distribution of daily changes in the Standard & Poor 500 Index, given a particular sample. The preceding article in this issue showed that classical inference can be highly misleading for Bayesians, as can the assumption of a diffuse prior. The present article discusses how to bound Bayesian shifts in belief for compound hypotheses generally, as well as the specific shifts in beliefs among simple and compound hypotheses implied by the particular sample.
The present article shows how Bayesians should shift beliefs among a family of models concerning die probability distribution of daily changes in the Standard & Poor 500 Index, given a particular sample. The preceding article in this issue showed that classical inference can be highly misleading for Bayesians, as can the assumption of a diffuse prior. The present article discusses how to bound Bayesian shifts in belief for compound hypotheses generally, as well as the specific shifts in beliefs among simple and compound hypotheses implied by the particular sample.
MSC:
| 91B28 | Finance etc. (MSC2000) |
Citations:
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