Bayesian Estimation

Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications [Repost]

Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications By Dr. David Ardia
English | Springer (2008) | ISBN-10: 3540786562 | 206 pages | ُPDF | 7.40 MB

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.
Financial Risk Management with Bayesian Estimation of GARCH Models (Repost)

Financial Risk Management with Bayesian Estimation of GARCH Models
Publisher: Springer | ISBN: 3540786562 | edition 2008 | PDF | 206 pages | 5,1 mb

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.

Prior Processes and Their Applications: Nonparametric Bayesian Estimation, Second Edition  eBooks & eLearning

Posted by Underaglassmoon at Aug. 1, 2016
Prior Processes and Their Applications: Nonparametric Bayesian Estimation, Second Edition

Prior Processes and Their Applications: Nonparametric Bayesian Estimation, Second Edition
Springer | Statistics | August 28, 2016 | ISBN-10: 3319327887 | 327 pages | pdf | 3.14 mb

Authors: Phadia, Eswar G.
Presents a systematic and comprehensive treatment of various prior processes
Provides valuable resource for nonparametric Bayesian analysis of big data
Includes a section on machine learning
Shows practical examples
Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications (Repost)

David Ardia, "Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications"
2008 | pages: 204 | ISBN: 3540786562 | PDF | 7,4 mb
Prior Processes and Their Applications: Nonparametric Bayesian Estimation

Eswar G. Phadia - Prior Processes and Their Applications: Nonparametric Bayesian Estimation
Published: 2013-07-25 | ISBN: 3642392792, 3642429319 | PDF | 207 pages | 2.21 MB
Inflation versus Price-Level Targeting: Bayesian Estimation of a Small Open DSGE Model for Switzerland

Inflation versus Price-Level Targeting: Bayesian Estimation of a Small Open DSGE Model for Switzerland (BestMasters) by Lukas Heim
English | 2014 | ISBN: 3658082275 | 69 pages | PDF | 1,5 MB
Bayesian Estimation and Tracking: A Practical Guide (repost)

Bayesian Estimation and Tracking: A Practical Guide by Anton J. Haug
English | ISBN: 0470621702 | 2012 | 400 pages | PDF | 13,5 MB

A practical approach to estimating and tracking dynamic systems in real–worl applications Much of the literature on performing estimation for non–Gaussian systems is short on practical methodology, while Gaussian methods often lack a cohesive derivation.
Financial Risk Management with Bayesian Estimation of GARCH Models (Repost)

David Ardia, "Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications"
2008 | pages: 203 | ISBN: 3540786562 | PDF | 7,4 mb
Bayesian Estimation and Tracking: A Practical Guide (Repost)

Anton J. Haug, "Bayesian Estimation and Tracking: A Practical Guide"
English | ISBN: 0470621702 | 2012 | 400 pages | PDF | 14 MB

A practical approach to estimating and tracking dynamic systems in real–worl applications Much of the literature on performing estimation for non–Gaussian systems is short on practical methodology, while Gaussian methods often lack a cohesive derivation.

Bayesian Estimation and Tracking: A Practical Guide  

Posted by roxul at July 4, 2013
Bayesian Estimation and Tracking: A Practical Guide

Anton J. Haug, "Bayesian Estimation and Tracking: A Practical Guide"
English | ISBN: 0470621702 | 2012 | 400 pages | PDF | 14 MB