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Financial Risk Management with Bayesian Estimation of Garch Models
David Ardia
€ 129.49
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Description for Financial Risk Management with Bayesian Estimation of Garch Models
Paperback. This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management, which allows for the possibility of obtaining small-sample results and integrating them in a formal decision model. Series: Lecture Notes in Economics and Mathematical Systems. Num Pages: 220 pages, 27 black & white illustrations, 14 black & white tables, biography. BIC Classification: KCH. Category: (P) Professional & Vocational. Dimension: 234 x 156 x 12. Weight in Grams: 710.
This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. ... Read more
This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. ... Read more
Product Details
Format
Paperback
Publication date
2008
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
220
Condition
New
Series
Lecture Notes in Economics and Mathematical Systems
Number of Pages
206
Place of Publication
Berlin, Germany
ISBN
9783540786566
SKU
V9783540786566
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Financial Risk Management with Bayesian Estimation of Garch Models
From the reviews: “This book provides an application of Bayesian methods to financial risk management. … The book is well written, it provides a comprehensive list of references and its index allows very easy navigation among its different concepts. This book can be very useful to graduate students as well as researchers who work on quantitative risk management and/or ... Read more