Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/59503 
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dc.contributor.authorShen, Xiangjinen
dc.contributor.authorTsurumi, Hirokien
dc.date.accessioned2011-06-15-
dc.date.accessioned2012-06-25T12:02:10Z-
dc.date.available2012-06-25T12:02:10Z-
dc.date.issued2011-
dc.identifier.urihttp://hdl.handle.net/10419/59503-
dc.description.abstractWe compare Bayesian and sample theory model specification criteria. For the Bayesian criteria we use the deviance information criterion and the cumulative density of the mean squared errors of forecast. For the sample theory criterion we use the conditional Kolmogorov test. We use Markov chain Monte Carlo methods to obtain the Bayesian criteria and bootstrap sampling to obtain the conditional Kolmogorov test. Two non-nested models we consider are the CIR and Vasicek models for spot asset prices. Monte Carlo experiments show that the DIC performs better than the cumulative density of the mean squared errors of forecast and the CKT. According to the DIC and the mean squared errors of forecast, the CIR model explains the daily data on uncollateralized Japanese call rate from January 1 1990 to April 18 1996; but according to the CKT, neither the CIR nor Vasicek models explains the daily data.en
dc.language.isoengen
dc.publisher|aRutgers University, Department of Economics |cNew Brunswick, NJen
dc.relation.ispartofseries|aWorking Paper |x2011-26en
dc.subject.jelC1en
dc.subject.jelC5en
dc.subject.jelG0en
dc.subject.ddc330en
dc.subject.keyworddeviance information criterionen
dc.subject.keywordcumulative density of the mean squared errors of forecasten
dc.subject.keywordMarkov chain Monte Carlo algorithmsen
dc.subject.keywordblock bootstrapen
dc.subject.keywordgeneralized methods of momentsen
dc.subject.keywordconditional Kolmogorov testen
dc.subject.keywordCIR and Vasicek modelsen
dc.subject.stwCapital Asset Pricing Modelen
dc.subject.stwModellierungen
dc.subject.stwStochastischer Prozessen
dc.subject.stwBayes-Statistiken
dc.subject.stwMonte-Carlo-Methodeen
dc.subject.stwTheorieen
dc.titleComparison of Bayesian model selection criteria and conditional Kolmogorov test as applied to spot asset pricing models-
dc.typeWorking Paperen
dc.identifier.ppn662140206en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:rut:rutres:201126en

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