Bayesian GARCH

[SPAAGG]

Here is a book dealing with the Bayesian estimation of GARCH models with applications to financial risk management:

David Ardia (2008) "Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications", Springer-Verlag (LNEMS 612), DOI: 10.1007/978-3-540-78657-3, ISBN: 978-3-540-78656-6.

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.

Further information on the book:
http://www.springer.com/economics/ec...-3-540-78656-6
http://www.springerlink.com/content/up7177/