Welcome
I am a quantitative analyst working for a private company in Switzerland. Formerly, I was a visiting researcher at the Center for Operations Research and Econometrics, University Catholique de Louvain, Belgium and at the Econometric Institute, Erasmus University Rotterdam, the Netherlands. I obtained my PhD in Bayesian econometrics at the Department of Quantitative Economics, University of Fribourg, Switzerland, under the supervision of Prof. Dr. Philippe Deschamps. Here is my vitae.
Bayesian GARCH
My book Financial Risk Management with Bayesian Estimation of GARCH Models has been published in the Springer's series Lecture Notes in Economics and Mathematical Systems (summary, link, toc, errata). A review of the book by Prof. Dr. Yannick Malevergne has been published in Mathematical Reviews (issue 2010b). Look inside the book on Amazon.
SSRN
R packages AdMit, bayesGARCH, DEoptim
last update: 28/11/2010
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