Bayesian analysis of multi-group nonlinear structural equation models with application to behavioral finance
作者: Bin LuXin-Yuan SongXin-Dan Li
作者单位: 1School of Finance , Nanjing University of Finance and Economics , Nanjing , China
2Department of Statistics , The Chinese University of Hong Kong , Shatin , Hong Kong
3School of Management and Engineering , Nanjing University , Nanjing , China
刊名: Quantitative Finance, 2012, Vol.12 (3), pp.477-488
来源数据库: Taylor & Francis Journal
DOI: 10.1080/14697680903369500
关键词: Bayesian statisticsBehavioral financeCredit riskFinancial markets
原始语种摘要: Structural equation models (SEMs) have been widely used to determine the relationships among certain observed and latent variables in behavioral finance. The purpose of this paper is to develop a Bayesian approach for analysing multi-group nonlinear SEMs. Using recently developed tools in statistical computing, such as the Gibbs sampler, we propose an efficient method to estimate parameters and select an appropriate model. The proposed method is used to investigate the relationships among all identified influential factors that have an impact on the motivation for insider trading within the framework of behavioral finance.
全文获取路径: Taylor & Francis  (合作)
影响因子:0.824 (2012)

  • finance 金融
  • structural 构造
  • analysis 分析
  • nonlinear 非线性的
  • equation 方程
  • group 
  • application 申请
  • behavioral 行为
  • multi 多种