Ardia, David
Financial Risk Management with Bayesian Estimation of GARCH Models
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-
6. Value at Risk and Decision Theory
7. Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student-
8. Conclusion
DRM-restrictions
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Nyckelord: BUSINESS & ECONOMICS / Management Science BUS042000
- Författare
- Ardia, David
- Utgivare
- Springer
- Utgivningsår
- 2008
- Språk
- en
- Utgåva
- 1
- Kategori
- Ekonomisk
- Format
- E-bok
- eISBN (PDF)
- 9783540786573