Finаnciаl Risk Mаnаgеmеnt with Bаyеsiаn Estimаtion of GARCH Modеls: Thеory аnd Applicаtions (Lеcturе Notеs in Economics аnd Mаthеmаticаl Systеms)
Publisher: Springеr
Number of Pages: 206
Published: 2008-05-23
List price: $99.00
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 relatively recent and can be considered very promising due to the advantages of the Bayesian approach, in particular the possibility of obtaining small-sample results and integrating these results in a formal decision model. The first two chapters introduce the work and give an overview of the Bayesian paradigm for inference. The next three chapters describe the estimation of the GARCH model with Normal innovatio...