Hidden Bibliographic Details
| ISBN: | 9783540786573
3540786570
9783540786566
3540786562
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| Notes: | Originally presented as the author's thesis (Ph. D.)--University of Fribourg, Switzerland, 2008.
Includes bibliographical references (p. [191]-200) and index.
Description based on print version record.
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| Summary: | 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.
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| Other form: | Print version: Ardia, David. Financial risk management with Bayesian estimation of GARCH models. Berlin : Springer, c2008 9783540786566 3540786562
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