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Financial Risk Management with Bayesian Estimation of GARCH Models (Record no. 506901)

000 -LEADER
fixed length control field 03298nam a22004935i 4500
001 - CONTROL NUMBER
control field 978-3-540-78657-3
003 - CONTROL NUMBER IDENTIFIER
control field DE-He213
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20161121231004.0
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr nn 008mamaa
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 100715s2008 gw | s |||| 0|eng d
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9783540786573
-- 978-3-540-78657-3
024 7# - OTHER STANDARD IDENTIFIER
Standard number or code 10.1007/978-3-540-78657-3
Source of number or code doi
050 #4 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HB139-141
072 #7 - SUBJECT CATEGORY CODE
Subject category code KCH
Source bicssc
072 #7 - SUBJECT CATEGORY CODE
Subject category code BUS021000
Source bisacsh
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 330.015195
Edition number 23
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Ardia, David.
Relator term author.
245 10 - TITLE STATEMENT
Title Financial Risk Management with Bayesian Estimation of GARCH Models
Medium [electronic resource] :
Remainder of title Theory and Applications /
Statement of responsibility, etc. by David Ardia.
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE
Place of production, publication, distribution, manufacture Berlin, Heidelberg :
Name of producer, publisher, distributor, manufacturer Springer Berlin Heidelberg,
Date of production, publication, distribution, manufacture, or copyright notice 2008.
300 ## - PHYSICAL DESCRIPTION
Extent XIV, 206 p. 27 illus.
Other physical details online resource.
336 ## - CONTENT TYPE
Content type term text
Content type code txt
Source rdacontent
337 ## - MEDIA TYPE
Media type term computer
Media type code c
Source rdamedia
338 ## - CARRIER TYPE
Carrier type term online resource
Carrier type code cr
Source rdacarrier
347 ## - DIGITAL FILE CHARACTERISTICS
File type text file
Encoding format PDF
Source rda
490 1# - SERIES STATEMENT
Series statement Lecture Notes in Economics and Mathematical System,
International Standard Serial Number 0075-8442 ;
Volume/sequential designation 612
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note 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.
520 ## - SUMMARY, ETC.
Summary, etc. 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.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Economics, Mathematical.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Statistics.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Econometrics.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Macroeconomics.
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Economics.
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Econometrics.
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Macroeconomics/Monetary Economics//Financial Economics.
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Statistics for Business/Economics/Mathematical Finance/Insurance.
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name entry element Quantitative Finance.
710 2# - ADDED ENTRY--CORPORATE NAME
Corporate name or jurisdiction name as entry element SpringerLink (Online service)
773 0# - HOST ITEM ENTRY
Title Springer eBooks
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Relationship information Printed edition:
International Standard Book Number 9783540786566
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Lecture Notes in Economics and Mathematical System,
International Standard Serial Number 0075-8442 ;
Volume/sequential designation 612
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier http://dx.doi.org/10.1007/978-3-540-78657-3
912 ## -
-- ZDB-2-SBE
Holdings
Withdrawn status Lost status Damaged status Not for loan Permanent Location Current Location Date acquired Barcode Date last seen Price effective from Koha item type
        PK Kelkar Library, IIT Kanpur PK Kelkar Library, IIT Kanpur 2016-11-21 EBK7188 2016-11-21 2016-11-21 E books

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