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Ardia D. — Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications
Ardia D. — Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications



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Название: Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications

Автор: Ardia D.

Аннотация:

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 innovations and the linear regression models with conditionally Normal-GJR and Student-t-GJR errors. The sixth chapter shows how agents facing different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences between individuals can be substantial in terms of regulatory capital. The last chapter proposes the estimation of a Markov-switching GJR model.


Язык: en

Рубрика: Экономика и финансы/

Статус предметного указателя: Неизвестно

ed2k: ed2k stats

Год издания: 2008

Количество страниц: 203

Добавлена в каталог: 16.05.2010

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