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Financial Risk Management with Bayesian Estimation of GARCH Models

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Cover of 'Financial Risk Management with Bayesian Estimation of GARCH Models'

Table of Contents

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    Book Overview
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    Chapter 1 Introduction
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    Chapter 2 Bayesian Statistics and MCMC Methods
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    Chapter 3 Bayesian Estimation of the GARCH(1, 1) Model with Normal Innovations
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    Chapter 4 Bayesian Estimation of the Linear Regression Model with Normal-GJR(1, 1) Errors
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    Chapter 5 Bayesian Estimation of the Linear Regression Model with Student- t -GJR(1, 1) Errors
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    Chapter 6 Value at Risk and Decision Theory
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    Chapter 7 Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student- t Innovations
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    Chapter 8 Conclusion
Attention for Chapter 7: Bayesian Estimation of the Markov-Switching GJR(1, 1) Model with Student- t Innovations
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