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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, e-bok

71,45€

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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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Nyckelord: BUSINESS & ECONOMICS / Management Science BUS042000

Författare
Utgivare
Springer
Utgivningsår
2008
Språk
en
Utgåva
1
Kategori
Ekonomisk
Format
E-bok
eISBN (PDF)
9783540786573

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