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

By:

Engle, R. F. (Robert F.)

Material type: Text

text

Media type:

computer

Carrier type:

online resource

ISBN:

9781400830190
1400830192

Subject(s): Genre/Form:

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:

Click here to access online

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.

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Item type	Home library	Collection	Call number	Materials specified	Status	Date due	Barcode
Electronic-Books	OPJGU Sonepat- Campus	E-Books EBSCO			Available

Series from introd.

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.

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