Financial Risk Management with Bayesian Estimation of GARCH Models Theory and Applications /

• Κύριος συγγραφέας: Ardia, David (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Σειρά: Lecture Notes in Economics and Mathematical System, 612
• Θέματα: Economics, Mathematical.; Statistics.; Econometrics.; Macroeconomics.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.

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...

Πίνακας περιεχομένων:

• 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.