Posted by **tanas.olesya** at Feb. 18, 2017

English | 24 Jan. 2013 | ISBN: 0199695601 | 720 Pages | PDF | 8 MB

The development of hierarchical models and Markov chain Monte Carlo (MCMC) techniques forms one of the most profound advances in Bayesian analysis since the 1970s and provides the basis for advances in virtually all areas of applied and theoretical Bayesian statistics.

Posted by **libr** at Feb. 18, 2017

English | 2013 | ISBN: 0199695601, 0198739079 | 700 pages | PDF | 8 MB

Posted by **tukotikko** at Nov. 9, 2015

2013 | 720 Pages | ISBN: 0199695601 | PDF | 8 MB

Posted by **interes** at Sept. 1, 2015

English | 2013 | ISBN: 0199695601, 0198739079 | 700 pages | PDF | 8 MB

Posted by **arundhati** at Feb. 23, 2017

2016 | ISBN-10: 3319438379 | 284 pages | PDF | 5 MB

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

2008 | pages: 204 | ISBN: 3540786562 | PDF | 7,4 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 **ChrisRedfield** at Jan. 10, 2014

Published: 2010-0605 | ISBN: 1441907416, 1461426065 | PDF | 326 pages | 3 MB

Posted by **nebulae** at March 13, 2017

2013 | ISBN-10: 1439857458 | 410 pages | PDF | 10,8 MB

Posted by **nebulae** at March 7, 2017

English | ISBN: 0387345329 | 2012 | 326 pages | PDF | 5 MB