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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Ardia, David (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2008.
Edición:1st ed. 2008.
Colección:Lecture Notes in Economics and Mathematical Systems, 612
Temas:
Econometrics.
Macroeconomics.
Statistics .
Social sciences > Mathematics.
Macroeconomics and Monetary Economics.
Statistics in Business, Management, Economics, Finance, Insurance.
Mathematics in Business, Economics and Finance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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