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Bayesian variable selection and model averaging in the arbitrage pricing theory model

• Rachida Ouysse, Robert Kohn
• Computational Statistics & Data Analysis
• 2010

Empirical tests of the arbitrage pricing theory using measured variables rely on the accuracy of standard inferential theory in approximating the distribution of the estimated risk premiums and… (More)

Fast Iterated Bootstrap Mean Bias Correction

• Rachida Ouysse
• 2009

Abstract: The article proposes a computationally efficient procedure for bias adjustment in the iterated bootstrap. The new technique replaces the need for successive levels of bootstrap resampling… (More)

Bayesian Variable Selection of Risk Factors in the APT model

• Robert Kohn, Rachida Ouysse
• 2006

PRELIMINARY AND INCOMPLETE In this paper we use a probabilistic approach to risk factor selection in the arbitrage pricing theory model. The methodology uses a bayesian framework to select the… (More)

Computationally efficient approximation for the double bootstrap mean bias correction

• Rachida Ouysse
• 2011

We propose a computationally efficient approximation for the double bootstrap bias adjustment factor without using the inner bootstrap loop. The approximation converges in probability to the… (More)

Bayesian Selection of Risk Factors and Estimation of Factor Betas and Risk Premiums in the APT model

• Rachida Ouysse, Robert Kohn
• 2008

This paper provides a Bayesian analysis of the historical risk premium in the US monthly portfolios returns. The study investigates the importance of non-traded economic risks in the pricing of… (More)

Finite Sample Properties of the Dependent Bootstrap for Conditional Moment Models

• Rachida Ouysse
• 2007

This paper assesses the finite sample refinements of the block bootstrap and the Non-Parametric Bootstrap for conditional moment models. The study recononsiders inference in the generalized method of… (More)

Forecasting using a large panel of predictors: Bayesian model averaging and principal components regression

• Rachida Ouysse
• 2013

We study the out-of-sample forecast performance of two alternative methods for dealing with dimensionality: Bayesian model Averaging (BMA) and principal components regression (PCR). We conduct a… (More)

Bayesian Variable Selection and Estimation of Risk Premiums in the APT model

• Rachida Ouysse, Robert Kohn
• 2009

Empirical tests of the arbitrage pricing theory using measured variables rely on the accuracy of standard inferential theory in approximating the distribution of the estimated risk premiums and… (More)

A Fast Iterated Bootstrap Procedure for Approximating the Small-Sample Bias

• Rachida Ouysse
• Communications in Statistics - Simulation and…
• 2013

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