The Likelihood of Various Stock Market Return Distributions, Part 2: Empirical Results.

B-Tier
Journal: Journal of Risk and Uncertainty
Year: 1996
Volume: 13
Issue: 3
Pages: 221-47

Authors (2)

Markowitz, Harry M Usmen, Nilufer (not in RePEc)

Score contribution per author:

1.009 = (α=2.02 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

The present article shows how Bayesians should shift beliefs among a family of models concerning the probability distribution of daily changes in the Standard & Poor 500 Index, given a particular sample. The preceding article in this issue showed that classical (R. A. Fisher, Neyman-Pearson) 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. Copyright 1996 by Kluwer Academic Publishers

Technical Details

RePEc Handle
repec:kap:jrisku:v:13:y:1996:i:3:p:221-47
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25