Zur Startseite gehen
0,00 €*
Cover: 9783540786566 | Financial Risk Management with Bayesian Estimation of GARCH Models
Dekorationsartikel gehören nicht zum Leistungsumfang.
Financial Risk Management with Bayesian Estimation of GARCH Models
Theory and Applications
Taschenbuch von David Ardia
Sprache: Englisch

106,99 €*

inkl. MwSt.

Versandkostenfrei per Post / DHL

Aktuell nicht verfügbar

Kategorien:
Beschreibung
This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
This book presents in detail methodologies for the Bayesian estimation of sing- regime and regime-switching GARCH models. These models are widespread and essential tools in n ancial econometrics and have, until recently, mainly been estimated using the classical Maximum Likelihood technique. As this study aims to demonstrate, the Bayesian approach o ers an attractive alternative which enables small sample results, robust estimation, model discrimination and probabilistic statements on nonlinear functions of the model parameters. The author is indebted to numerous individuals for help in the preparation of this study. Primarily, I owe a great debt to Prof. Dr. Philippe J. Deschamps who inspired me to study Bayesian econometrics, suggested the subject, guided me under his supervision and encouraged my research. I would also like to thank Prof. Dr. Martin Wallmeier and my colleagues of the Department of Quantitative Economics, in particular Michael Beer, Roberto Cerratti and Gilles Kaltenrieder, for their useful comments and discussions. I am very indebted to my friends Carlos Ord as Criado, Julien A. Straubhaar, J er ^ ome Ph. A. Taillard and Mathieu Vuilleumier, for their support in the elds of economics, mathematics and statistics. Thanks also to my friend Kevin Barnes who helped with my English in this work. Finally, I am greatly indebted to my parents and grandparents for their support and encouragement while I was struggling with the writing of this thesis.
Inhaltsverzeichnis
Bayesian Statistics and MCMC Methods.- Bayesian Estimation of the GARCH(1, 1) Model with Normal Innovations.- Bayesian Estimation of the Linear Regression Model with Normal-GJR(1, 1) Errors.- Bayesian Estimation of the Linear Regression Model with Student-t-GJR(1, 1) Errors.- Value at Risk and Decision Theory.- Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student-t Innovations.- Conclusion.
Details
Erscheinungsjahr: 2008
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Reihe: Lecture Notes in Economics and Mathematical Systems
Inhalt: xiv
206 S.
27 s/w Illustr.
206 p. 27 illus.
ISBN-13: 9783540786566
ISBN-10: 3540786562
Sprache: Englisch
Herstellernummer: 12242313
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Ardia, David
Hersteller: Springer-Verlag GmbH
Springer Berlin Heidelberg
Lecture Notes in Economics and Mathematical Systems
Maße: 235 x 155 x 13 mm
Von/Mit: David Ardia
Erscheinungsdatum: 29.05.2008
Gewicht: 0,341 kg
Artikel-ID: 101849401
Inhaltsverzeichnis
Bayesian Statistics and MCMC Methods.- Bayesian Estimation of the GARCH(1, 1) Model with Normal Innovations.- Bayesian Estimation of the Linear Regression Model with Normal-GJR(1, 1) Errors.- Bayesian Estimation of the Linear Regression Model with Student-t-GJR(1, 1) Errors.- Value at Risk and Decision Theory.- Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student-t Innovations.- Conclusion.
Details
Erscheinungsjahr: 2008
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Reihe: Lecture Notes in Economics and Mathematical Systems
Inhalt: xiv
206 S.
27 s/w Illustr.
206 p. 27 illus.
ISBN-13: 9783540786566
ISBN-10: 3540786562
Sprache: Englisch
Herstellernummer: 12242313
Ausstattung / Beilage: Paperback
Einband: Kartoniert / Broschiert
Autor: Ardia, David
Hersteller: Springer-Verlag GmbH
Springer Berlin Heidelberg
Lecture Notes in Economics and Mathematical Systems
Maße: 235 x 155 x 13 mm
Von/Mit: David Ardia
Erscheinungsdatum: 29.05.2008
Gewicht: 0,341 kg
Artikel-ID: 101849401
Warnhinweis

Ähnliche Produkte

Ähnliche Produkte

Taschenbuch
Cover: 9781493939169 | Classical Fourier Analysis | Loukas Grafakos | Taschenbuch | Paperback
Classical Fourier Analysis
EAN: 9781493939169
Sprache: Englisch
Von/Mit: Loukas Grafakos

67,30 €*

Lieferzeit 4-7 Werktage

Buch
Cover: 9780471220787 | Emerging Markets | Pereiro | Buch | HC gerader Rücken kaschiert | 2002
Valuation of Companies in Emerging Markets
A Practical Approach
EAN: 9780471220787
Sprache: Englisch
Von/Mit: Luis E Pereiro

121,50 €*

Aktuell nicht verfügbar

Buch
Cover: 9781493921362 | Longitudinal Categorical Data Analysis | Brajendra C. Sutradhar | Buch
Longitudinal Categorical Data Analysis
EAN: 9781493921362
Sprache: Englisch
Von/Mit: Brajendra C. Sutradhar

117,95 €*

Lieferzeit 1-2 Wochen

Taschenbuch
Cover: 9781461271543 | Stochastic Controls | Hamiltonian Systems and HJB Equations | Buch
Stochastic Controls
Hamiltonian Systems and HJB Equations
EAN: 9781461271543
Sprache: Englisch
Von/Mit: Xun Yu Zhou (u. a.)

192,59 €*

Aktuell nicht verfügbar

Taschenbuch
Cover: 9780521102438 | Measurement Theory | Fred S. Roberts | Taschenbuch | Paperback | 2008
Measurement Theory
Volume 7: With Applications to Decisionmaking, Utility, and the Social Sciences
EAN: 9780521102438
Sprache: Englisch
Von/Mit: Fred S. Roberts

96,80 €*

Aktuell nicht verfügbar

Taschenbuch
Cover: 9783668503113 | Über die Unmöglichkeit der Mechanisierung der Mathematik. Gödels...
Über die Unmöglichkeit der Mechanisierung der Mathematik. Gödels Unvollständigkeitssatz und philosophische Implikationen
EAN: 9783668503113
Sprache: Deutsch
Von/Mit: Christian Hugo Hoffmann

17,95 €*

Lieferzeit 2-4 Werktage

Buch
Cover: 9781119486084 | Project Finance for Business Development | John E. Triantis | Buch
Project Finance for Business Development
EAN: 9781119486084
Sprache: Englisch
Von/Mit: John E Triantis

59,40 €*

Lieferzeit 1-2 Wochen

Taschenbuch
Cover: 9781138204348 | Disaster Risk | Christopher Gomez (u. a.) | Taschenbuch | Englisch
Disaster Risk
EAN: 9781138204348
Sprache: Englisch
Von/Mit: Christopher Gomez (u. a.)

55,75 €*

Lieferzeit 1-2 Wochen

Buch
Cover: 9781119830870 | Regression Analysis By Example Using R | Ali S. Hadi (u. a.) | Buch
Regression Analysis By Example Using R
EAN: 9781119830870
Sprache: Englisch
Von/Mit: Ali S. Hadi (u. a.)

132,95 €*

Lieferzeit 1-2 Werktage

Taschenbuch
Cover: 9781138089549 | Social Work and Disasters | A Handbook for Practice | Alston (u. a.)
Social Work and Disasters
A Handbook for Practice
EAN: 9781138089549
Sprache: Englisch
Von/Mit: Desley Hargreaves (u. a.)

56,95 €*

Lieferzeit 1-2 Wochen

Diese Website verwendet Cookies, um eine bestmögliche Erfahrung bieten zu können. Mehr Informationen ...