Lecture Notes in Economics and Mathematical Systems

Financial Risk Management with Bayesian Estimation of GARCH Models

Theory and Applications

Authors: Ardia, David

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About this book

For his excellent monograph, David Ardia won the Chorafas prize 2008 at the University of Fribourg Switzerland.

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.

Reviews

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 concepts. This book can be very useful to graduate students as well as researchers who work on quantitative risk management and/or financial econometrics. … To sum up, the book is well organized and provides a thorough treatment of the Bayesian estimation of GARCH-like models and its application to risk management.” (Yannick Malevergne, Mathematical Reviews, Issue 2010 b)

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook $84.99
price for USA in USD
  • ISBN 978-3-540-78657-3
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $109.99
price for USA in USD
  • ISBN 978-3-540-78656-6
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Financial Risk Management with Bayesian Estimation of GARCH Models
Book Subtitle
Theory and Applications
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
612
Copyright
2008
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-78657-3
DOI
10.1007/978-3-540-78657-3
Softcover ISBN
978-3-540-78656-6
Series ISSN
0075-8442
Edition Number
1
Number of Pages
XIV, 206
Number of Illustrations
27 b/w illustrations
Topics