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Anticipating correlations : a new paradigm for risk management

Author: R F Engle
Publisher: Princeton, NJ : Princeton University Press, 2009.
Series: Econometric Institute lectures.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
"In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He  Read more...
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: R F Engle
ISBN: 9780691116419 0691116415
OCLC Number: 269434476
Description: vi, 154 pages : illustrations ; 25 cm.
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.
Series Title: Econometric Institute lectures.
Responsibility: Robert Engle.

Abstract:

Introduces an important method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). This title demonstrates the role of correlations in financial decision  Read more...

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"No doubt much more literature will develop in this area. Professor Engle has done a service by laying out how his mind is moving and thinking at the current time."--Peter Tompkins, The Actuary

 
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