TY  - BOOK
AU  - Engle,R.F.
TI  - Anticipating correlations: a new paradigm for risk management 
T2  - The Econometric Institute lecture series
SN  - 9781400830190
AV  - HG106 .E54 2009eb
U1  - 332.678 22
PY  - 2009///
CY  - Princeton
PB  - Princeton University Press
KW  - Finance
KW  - Econometric models
KW  - Economic forecasting
KW  - Mathematical models
KW  - Risk management
KW  - Correlation (Statistics)
KW  - Finances
KW  - Modèles économétriques
KW  - Prévision économique
KW  - Modèles mathématiques
KW  - Gestion du risque
KW  - Corrélation (Statistique)
KW  - correlation
KW  - aat
KW  - BUSINESS & ECONOMICS
KW  - Personal Finance
KW  - Investing
KW  - bisacsh
KW  - Econometrics
KW  - fast
KW  - Korrelation
KW  - gnd
KW  - Kreditmarkt
KW  - Risikomanagement
KW  - Risicobeheersing
KW  - gtt
KW  - Correlatieanalyse
KW  - Electronic book
KW  - Electronic books
KW  - gtlm
N1  - Series from introd; Includes bibliographical references (pages 141-149) and index; 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
N2  - 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
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ER  -