References
- Christodoulakis , GA . 2003 . Sharpe style analysis in the MSCI sector portfolios: A Monte Carlo integration approach . Oper. Res. , 2 ( 2 ) : 123 – 137 .
- Christodoulakis , GA . 2007 . Markovian credit risk transition probabilities under inequality constraints for the US portfolio 1984–2004 . J. Credit Risk , 3 ( 3 ) : 25 – 39 .
- Christodoulakis , GA and Mamatzakis , EC . 2010 . Return attribution analysis for the UK insurance portfolio . Ann. Finance , 6 ( 3 ) : 405 – 420 .
- Hop , JP and van Dijk , HK . 1992 . SISAM and MIXIN: Two algorithms for the computation of posterior moments and densities using Monte Carlo integration . Comput. Econ. (formerly Comput. Sci. Econ. Mgmt) , 5 : 183 – 220 .
- Jones , MT . 2005 . Estimating Markov transition matrices using proportions data: An application to credit risk , IMF Working Paper WP/05/219
- Judge , GG , Griffiths , WE , Hill , RC , Lutkepohl , H and Lee , TC . 1985 . The Theory and the Practice of Econometrics , New York : Wiley .
- Kim , T-H , Stone , D and White , H . 2005 . Asymptotic and Bayesian confidence intervals for Sharpe style weights . J. Financial Econometr. , 3 ( 3 ) : 315 – 343 .
- Kloek , T and van Dijk , HK . 1978 . Bayesian estimates of equation system parameters: An application of integration by Monte Carlo . Econometrica , 46 ( 1 ) : 1 – 19 .
- Lee , TC , Judge , GG and Zellner , A . 1970 . Estimating the Parameters of the Markov Probability Model from Aggregate Time Series Data , Amsterdam : North-Holland .
- MacRae , EC . 1977 . Estimation of time-varying Markov processes with aggregate data . Econometrica , 45 ( 1 ) : 183 – 198 .
- Miller , GA . 1952 . Finite Markov processes in psychology . Psychometrica , 17 : 149 – 167 .
- van Dijk , HK and Kloek , T . 1980 . Further experience in Bayesian analysis using Monte Carlo integration . J. Econometr. , 14 : 307 – 328 .