[PDF.48vq] Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Lecture Notes in Economics and Mathematical Systems)

Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Lecture Notes in Economics and Mathematical Systems)

[PDF.do16] Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Lecture Notes in Economics and Mathematical Systems)

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 | #1366397 in Books |  Springer |  2009-02-22 | Original language:English | PDF # 1 |  9.25 x.50 x6.10l,.70 | File type: PDF | 206 pages

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||0 of 0 people found the following review helpful.| Comment on the monograph by David Ardia|By Philippe Deschamps|Clearly and rigorously written; this book, which presents efficient simulation techniques for the Bayesian analysis of regime-switching GARCH models, will prove very useful for econometricians and financial analysts.
Philippe J. Deschamps|1 of 1 people found the following review helpful.| |From the reviews: “This book provides an application of Bayesian methods to financial risk management. … The book is well written, it provides a comprehensive list of references and its index allows very easy navigation among its different concep

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...

You easily download any file type for your gadget.Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Lecture Notes in Economics and Mathematical Systems)   |  David Ardia. A good, fresh read, highly recommended.

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