This book presents methodologies for the Bayesian estimation of GARCH models and their application to financial risk … different risk perspectives can select their optimal Value at Risk Bayesian point estimate and documents that the differences … management. The study of these models from a Bayesian viewpoint is relatively recent and can be considered very promising due to …

measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we … sample covariance matrix in order to reduce model risk. …