scholarly journals Risk, Return, and Volatility Feedback: A Bayesian Nonparametric Analysis

2014 ◽  
Author(s):  
Mark J. Jensen ◽  
John M. Maheu
Keyword(s):  
Nonparametric Analysis ◽  
Bayesian Nonparametric ◽  
Risk Return ◽  
Volatility Feedback

scholarly journals Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis

2018 ◽  
Vol 11 (3) ◽  
pp. 52 ◽  
Author(s):  
Mark Jensen ◽  
John Maheu
Keyword(s):  
Dirichlet Process ◽  
Joint Distribution ◽  
Nonparametric Model ◽  
Bayesian Nonparametric ◽  
Excess Returns ◽  
Dirichlet Process Prior ◽  
Stock Market Returns ◽  
Conditional Mean ◽  
Risk Return ◽  
Volatility Feedback

In this paper, we let the data speak for itself about the existence of volatility feedback and the often debated risk–return relationship. We do this by modeling the contemporaneous relationship between market excess returns and log-realized variances with a nonparametric, infinitely-ordered, mixture representation of the observables’ joint distribution. Our nonparametric estimator allows for deviation from conditional Gaussianity through non-zero, higher ordered, moments, like asymmetric, fat-tailed behavior, along with smooth, nonlinear, risk–return relationships. We use the parsimonious and relatively uninformative Bayesian Dirichlet process prior to overcoming the problem of having too many unknowns and not enough observations. Applying our Bayesian nonparametric model to more than a century’s worth of monthly US stock market returns and realized variances, we find strong, robust evidence of volatility feedback. Once volatility feedback is accounted for, we find an unambiguous positive, nonlinear, relationship between expected excess returns and expected log-realized variance. In addition to the conditional mean, volatility feedback impacts the entire joint distribution.

Bayesian nonparametric analysis of neuronal intensity rates

2012 ◽  
Vol 203 (1) ◽  
pp. 241-253 ◽  
Author(s):  
Athanasios Kottas ◽  
Sam Behseta ◽  
David E. Moorman ◽  
Valerie Poynor ◽  
Carl R. Olson
Keyword(s):  
Nonparametric Analysis ◽  
Bayesian Nonparametric

Single molecule force spectroscopy at high data acquisition: A Bayesian nonparametric analysis

2018 ◽  
Vol 148 (12) ◽  
pp. 123320 ◽  
Author(s):  
Ioannis Sgouralis ◽  
Miles Whitmore ◽  
Lisa Lapidus ◽  
Matthew J. Comstock ◽  
Steve Pressé
Keyword(s):  
Data Acquisition ◽  
Single Molecule ◽  
Force Spectroscopy ◽  
Nonparametric Analysis ◽  
Bayesian Nonparametric ◽  
Single Molecule Force Spectroscopy ◽  
High Data
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