<> <http://www.w3.org/2000/01/rdf-schema#comment> "The repository administrator has not yet configured an RDF license."^^<http://www.w3.org/2001/XMLSchema#string> . <> <http://xmlns.com/foaf/0.1/primaryTopic> <https://discovery.ucl.ac.uk/id/eprint/10097063> . <https://discovery.ucl.ac.uk/id/eprint/10097063> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/AcademicArticle> . <https://discovery.ucl.ac.uk/id/eprint/10097063> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Article> . <https://discovery.ucl.ac.uk/id/eprint/10097063> <http://purl.org/dc/terms/title> "A Bayesian Quantile Time Series Model for Asset Returns"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10097063> <http://purl.org/ontology/bibo/abstract> "We consider jointly modeling a finite collection of quantiles over time. Formal Bayesian inference on quantiles is challenging since we need access to both the quantile function and the likelihood. We propose a flexible Bayesian time-varying transformation model, which allows the likelihood and the quantile function to be directly calculated. We derive conditions for stationarity, discuss suitable priors, and describe a Markov chain Monte Carlo algorithm for inference. We illustrate the usefulness of the model for estimation and forecasting on stock, index, and commodity returns."^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10097063> <http://purl.org/dc/terms/date> "2020" . <https://discovery.ucl.ac.uk/id/document/1098480> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://purl.org/ontology/bibo/Document> . <https://discovery.ucl.ac.uk/id/org/ext-8d7fde318f33ad36d6e0055b2146be42> <http://www.w3.org/1999/02/22-rdf-syntax-ns#type> <http://xmlns.com/foaf/0.1/Organization> . <https://discovery.ucl.ac.uk/id/org/ext-8d7fde318f33ad36d6e0055b2146be42> <http://xmlns.com/foaf/0.1/name> "American Statistical Association"^^<http://www.w3.org/2001/XMLSchema#string> . <https://discovery.ucl.ac.uk/id/eprint/10097063> <http://purl.org/dc/terms/publisher> <https://discovery.ucl.ac.uk/id/org/ext-8d7fde318f33ad36d6e0055b2146be42> . <https://discovery.ucl.ac.uk/id/publication/ext-07350015> 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