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.
