Financial Risk Management with Bayesian Estimation of GARCH Models Theory and Applications
For his excellent monograph, David Ardia won the Chorafas prize 2008 at the University of Fribourg Switzerland. This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The study of these models from a Bayesian viewpoint is rela...
| Main Author: | |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2008, 2008
|
| Edition: | 1st ed. 2008 |
| Series: | Lecture Notes in Economics and Mathematical Systems
|
| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- Bayesian Statistics and MCMC Methods
- Bayesian Estimation of the GARCH(1, 1) Model with Normal Innovations
- Bayesian Estimation of the Linear Regression Model with Normal-GJR(1, 1) Errors
- Bayesian Estimation of the Linear Regression Model with Student-t-GJR(1, 1) Errors
- Value at Risk and Decision Theory
- Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student-t Innovations
- Conclusion