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Anticipating correlations : a new paradigm for risk management /
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 t...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
©2009.
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| Colección: | Econometric Institute lectures.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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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| Notas: | Series from introduction |
| Descripción Física: | 1 online resource (vi, 154 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 141-149) and index. |
| ISBN: | 9781400830190 1400830192 |