3
$\begingroup$

Do you know books about Bayesian inferential analysis of GARCH models with the analysis of these models in R and JAGS?

Here is a list of the books I already have:

  • [Ardia] - Financial Risk Management with Bayesian Estimation of GARCH Models_ Theory and Applications
  • [Ruppert] - Statistics and Data Analysis for Financial Engineering with R examples [2nd ed.] (2015)
  • (Frank J. Fabozzi Series) Svetlozar T. Rachev, John S. J. Hsu, Biliana S. Bagasheva, Frank J. Fabozzi CFA - Bayesian Methods in Finance-Wiley (2008)
  • [Ardia, Catania] - Markov–Switching GARCH Models in R - [2016]
$\endgroup$
2
$\begingroup$

Rossi, P., Allenby, G., and McCulloch, R. (2005) Bayesian Statistics and Marketing. J. Wiley

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.