HERMES-Catalog

Financial Risk Management with Bayesian Estimation of GARCH Models : Theory and Applications / by David Ardia
(Lecture Notes in Economics and Mathematical Systems. ISSN:21969957 ; 612)

Publisher	(Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer)
Year	2008
Edition	1st ed. 2008.
Authors	*Ardia, David author SpringerLink (Online service)

Hide book details.

Links to the text	Location	Volume	Call No.	Barcode No.	Status	Comments	ISBN	Printed	Restriction	Reserve
Links to the text	Library Off-campus access			OB00164266		Springer Business and Economics eBooks (電子ブック)	9783540786573

Hide details.

Material Type	E-Book
Media type	機械可読データファイル
Size	XIV, 206 p. 27 illus : online resource
Notes	Bayesian Statistics and MCMC Methods -- Bayesian Estimation of the GARCH(1, 1) Model with Normal Innovations -- Bayesian Estimation of the Linear Regression Model with Normal-GJR(1, 1) Errors -- Bayesian Estimation of the Linear Regression Model with Student-t-GJR(1, 1) Errors -- Value at Risk and Decision Theory -- Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student-t Innovations -- Conclusion For his excellent monograph, David Ardia won the Chorafas prize 2008 at the University of Fribourg Switzerland. 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 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 HTTP:URL=https://doi.org/10.1007/978-3-540-78657-3
Subjects	LCSH:Econometrics LCSH:Macroeconomics LCSH:Statistics LCSH:Social sciences—Mathematics FREE:Econometrics FREE:Macroeconomics and Monetary Economics FREE:Statistics in Business, Management, Economics, Finance, Insurance FREE:Mathematics in Business, Economics and Finance
Classification	LCC:HB139-141 DC23:330.015195
ID	8000058873
ISBN	9783540786573