Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
type: Item
instance of: scholarly article
title: Financial risk management with Bayesian estimation of GARCH models. Theory and applica\-tions.
zbMATH Open document ID: 1144.62075
DOI: 10.1007/978-3-540-78657-3
author: David Ardia
published in: Lecture Notes in Economics and Mathematical Systems
publication date: 2008-06-02T00:00:00Z
review text: This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk management. The author shows that the Bayesian approach offers an attractive alternative of the maximum likelihood technique which is traditionally used for estimating GARCH models. The first two chapters give an overview of the Bayesian paradigm for inference. The next three describe the estimation of GARCH models with normal innovations and 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 VaR Bayesian point estimate and documents that differences between individuals can be substantial in terms of the regulatory capital. The last chapter proposes the estimation of a Markov-switching GJR model.
reviewed by: Pavel Stoynov
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F15
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62-02
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62M05
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5281734
zbMATH Keywords: value at Risk
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1007/978-3-540-78657-3
OpenAlex ID: W2498616844
description: scientific article; zbMATH DE number 5281734