MARC record from Internet Archive

LEADER: 02118cam 2200397Ia 4500
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005 20150423135251.0
008 080407s2008 gw a b 001 0 eng d
010 $a 2008927201
020 $a9783540786566
020 $a3540786562
029 1 $aNLGGC$b310814839
035 $a(CSdNU)u331022-01national_inst
035 $a(OCoLC)221218065
035 $a(OCoLC)221218065
035 $a(OCoLC)221218065
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049 $aCNUM
050 00 $aHD61$b.A75 2008
100 1 $aArdia, David.
245 00 $aFinancial risk management with Bayesian estimation of GARCH models : $btheory and applications /$cDavid Ardia.
260 $aBerlin :$bSpringer,$cc2008.
300 $axi, 203 p. :$bill. ;$c24 cm.
440 0 $aLecture notes in economics and mathematical systems ;$v612
500 $aOriginally presented as the author's thesis (Ph. D.)--University of Fribourg, Switzerland, 2008.
504 $aIncludes bibliographical references (p. [191]-200) and index.
505 0 $a1. Introduction -- 2. Bayesian Statistics and MCMC Methods -- 3. Bayesian Estimation of the GARCH(1,1) Model with Normal Innovations -- 4. Bayesian Estimation of the Linear Regression Model with Normal-GJR(1,1) Errors -- 5. Bayesian Estimation of the Linear Regression Model with Student-t-GJR(1,1) Errors -- 6. Value at Risk and Decision Theory -- 7. Bayesian Estimation of the Markov-Switching GJR(1,1) Model with Student-t Innovations -- 8. Conclusion -- App. A. Recursive Transformations -- App. B. Equivalent Specification -- App. C. Conditional Moments.
650 0 $aBayesian statistical decision theory.
650 0 $aRisk management$xMathematical models.
938 $aBaker and Taylor$bBTCP$nBK0007737404
938 $aYBP Library Services$bYANK$n2815077
938 $aBaker & Taylor$bBKTY$c99.00$d99.00$i3540786562$n0007737404$sactive
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999 $aHD 61 .A75 2008$wLC$c1$i31786102427827$lCIRCSTACKS$mNULS$rY$sY$tBOOK $u8/18/2008