Posted by **ksveta6** at Jan. 19, 2016

2015 | ISBN: 1118708601 | English | 240 pages | PDF | 7 MB

Posted by **interes** at Nov. 20, 2016

English | 2016 | ISBN: 331925054X | 162 pages | PDF | 4 MB

Posted by **step778** at Jan. 23, 2016

2008 | pages: 204 | ISBN: 3540786562 | PDF | 7,4 mb

Posted by **Mitsu** at Aug. 28, 2015

English | 11 pages | True PDF | 4.33 Mb

Posted by **Rare-1** at July 14, 2015

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.

Posted by **interes** at May 10, 2015

English | 2015 | ISBN: 1118735811 | 232 pages | PDF | 3 MB

Posted by **ChrisRedfield** at Oct. 4, 2014

Published: 2008-01-16 | ISBN: 3866442009 | PDF | 150 pages | 3 MB

Posted by **libr** at Sept. 22, 2014

English | 2011 | ISBN: 0415683793 | 3076 pages | PDF | 5 MB

Posted by **step778** at June 11, 2014

2008 | pages: 203 | ISBN: 3540786562 | PDF | 7,4 mb

Posted by **interes** at Oct. 24, 2013

English | 2011 | ISBN: 0415683793 | 3076 pages | PDF | 5 MB

Advances in Safety, Reliability and Risk Management contains the papers presented at the 20th European Safety and Reliability (ESREL 2011) annual conference in Troyes, France, in September 2011.