Description: Financial Risk Management with Bayesian Estimation of GARCH Models Please note: this item is printed on demand and will take extra time before it can be dispatched to you (up to 20 working days). Theory and Applications Author(s): David Ardia Format: Paperback Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Germany Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K ISBN-13: 9783540786566, 978-3540786566 Synopsis This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
Price: 73.05 GBP
Location: Aldershot
End Time: 2025-01-08T09:57:21.000Z
Shipping Cost: 36.37 GBP
Product Images
Item Specifics
Return postage will be paid by: Buyer
Returns Accepted: Returns Accepted
After receiving the item, your buyer should cancel the purchase within: 60 days
Return policy details:
Book Title: Financial Risk Management with Bayesian Estimation of GARCH Mo...
Number of Pages: 206 Pages
Publication Name: Financial Risk Management with Bayesian Estimation of Garch Models: Theory and Applications
Language: English
Publisher: Springer-Verlag Berlin AND Heidelberg Gmbh & Co. KG
Item Height: 235 mm
Subject: Economics, Accounting, Government, Mathematics
Publication Year: 2008
Type: Textbook
Item Weight: 710 g
Author: David Ardia
Item Width: 155 mm
Series: Lecture Notes in Economics and Mathematical Systems
Format: Paperback
