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APPLIED BAYESIAN GARCH WITH R

Name: APPLIED BAYESIAN GARCH WITH R
Brand: Independently published
SKU: 50535688
Price: 16.64 EUR
Availability: InStock
Author: Felix O. Okolie
ISBN: 9798265071910

Theory, Implementation, and Case Studies in Financial Volatility

Felix O. Okolie

Mary M. Slessor

Jazyk

Angličtina

Kniha Brožovaná

Libristo kód: 50535688

Nakladateľstvo Independently published, september 2025

Volatility modeling is central to financial econometrics, risk management, and quantitative trading.... Celý popis

Libristo kód: 50535688

40 b

16.64 €

Skladom u dodávateľa Odosielame za 14-21 dní

Až 30 dní na vrátenie tovaru

Volatility modeling is central to financial econometrics, risk management, and quantitative trading. The GARCH family of models has been a cornerstone for capturing time-varying volatility, but traditional estimation approaches often underestimate uncertainty.
Applied Bayesian GARCH with R provides a hands-on guide to Bayesian inference for GARCH models, combining theoretical intuition with reproducible R code and case studies. You'll learn how to specify priors, run Markov chain Monte Carlo (MCMC), evaluate convergence, and forecast volatility with full uncertainty quantification.
Topics covered include:

Bayesian GARCH(1,1) with Gaussian and heavy-tailed errors
Model extensions: EGARCH, GJR-GARCH, and asymmetric volatility
Posterior predictive checks and model diagnostics
Forecasting volatility, Value-at-Risk, and Expected Shortfall
Advanced topics: multivariate GARCH, hierarchical structures, and model averaging

Each chapter contains R code, exercises, and datasets to reinforce learning. Whether you are a graduate student, researcher, or practitioner in finance, this book equips you with modern Bayesian tools to model volatility with confidence.