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Anticipating correlations : a new paradigm for risk management / Robert Engle.

By: Material type: TextTextSeries: Econometric Institute lecturesPublication details: Princeton : Princeton University Press, ©2009.Description: 1 online resource (vi, 154 pages) : illustrationsContent type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781400830190
  • 1400830192
Subject(s): Additional physical formats: Print version:: Anticipating correlations.DDC classification:
  • 332.678 22
LOC classification:
  • HG106 .E54 2009eb
Other classification:
  • 83.03
  • QK 620
  • QK 660
  • QP 720
Online resources:
Contents:
Ch. 1. Correlation economics -- Ch. 2. Correlations in theory -- Ch. 3. Models for correlation -- Ch. 4. Dynamic conditional correlation -- Ch. 5. DCC performance -- Ch. 6. The MacGyver method -- Ch. 7. Generalized DCC models -- Ch. 8. FACTOR DCC -- Ch. 9. Anticipating correlations -- Ch. 10. Credit risk and correlations -- Ch. 11. Econometric analysis of the DCC model -- Ch. 12. Conclusions.
Summary: Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for es.
Holdings
Item type Current library Collection Call number Status Date due Barcode Item holds
eBook eBook e-Library EBSCO Business Available
Total holds: 0

Series from introduction

Includes bibliographical references (pages 141-149) and index.

Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for es.

Print version record.

Ch. 1. Correlation economics -- Ch. 2. Correlations in theory -- Ch. 3. Models for correlation -- Ch. 4. Dynamic conditional correlation -- Ch. 5. DCC performance -- Ch. 6. The MacGyver method -- Ch. 7. Generalized DCC models -- Ch. 8. FACTOR DCC -- Ch. 9. Anticipating correlations -- Ch. 10. Credit risk and correlations -- Ch. 11. Econometric analysis of the DCC model -- Ch. 12. Conclusions.

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