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Ardia, David

Financial Risk Management with Bayesian Estimation of GARCH Models

Ardia, David - Financial Risk Management with Bayesian Estimation of GARCH Models, ebook

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ISBN: 9783540786573
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Table of contents

1. Introduction

2. Bayesian Statistics and MCMC Methods

3. Bayesian Estimation of the GARCH(1, 1) Model with Normal Innovations

4. Bayesian Estimation of the Linear Regression Model with Normal-GJR(1, 1) Errors

5. Bayesian Estimation of the Linear Regression Model with Student-t-GJR(1, 1) Errors

6. Value at Risk and Decision Theory

7. Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student-t Innovations

8. Conclusion

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Printing: not available
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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000

Author(s)
Publisher
Springer
Publication year
2008
Language
en
Edition
1
Category
Economy
Format
Ebook
eISBN (PDF)
9783540786573

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