Financial risk management with bayesian estimation of GARCH models : theory and applications
David Ardia
| Alternative title: | Bayesian estimation of single-regime and regime-switching GARCH models |
|---|---|
| Year of publication: |
2008
|
| Authors: | Ardia, David |
| Publisher: |
Berlin : Springer |
| Subject: | Risikomaß | Risk measure | Finanzmarkt | Financial market | ARCH-Modell | ARCH model | Bayes-Statistik | Bayesian inference | Schätztheorie | Estimation theory | Theorie | Theory | Schätzung | Estimation | Welt | World | Volatilität | Risikomanagement | Bayes-Inferenz | GARCH-Prozess | Finanzmathematik |
| Description of contents: | Table of Contents [gbv.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org] |
| Extent: | XI, 203 S. graph. Darst. |
|---|---|
| Series: | Lecture notes in economics and mathematical systems : LNEMS. - Cham : Springer, ISSN 0075-8442, ZDB-ID 121369-6. - Vol. 612 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Hochschulschrift |
| Language: | English |
| Thesis: | Zugl.: Fribourg, Univ., Diss., 1990 |
| Notes: | Literaturverz. S. [191] - 200 |
| ISBN: | 978-3-540-78656-6 ; 978-3-540-78657-3 |
| Classification: | Methoden und Techniken der Volkswirtschaft ; Wahrscheinlichkeitsrechnung ; Numerische Mathematik |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013278094