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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 |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
©2009.
|
| Colección: | Econometric Institute lectures.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Engle, R. F. |q (Robert F.) | |
| 245 | 1 | 0 | |a Anticipating correlations : |b a new paradigm for risk management / |c Robert Engle. |
| 260 | |a Princeton : |b Princeton University Press, |c ©2009. | ||
| 300 | |a 1 online resource (vi, 154 pages) : |b illustrations | ||
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| 490 | 1 | |a The Econometric Institute lecture series | |
| 500 | |a Series from introduction | ||
| 504 | |a Includes bibliographical references (pages 141-149) and index. | ||
| 520 | |a 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. | ||
| 588 | 0 | |a Print version record. | |
| 505 | 0 | |a 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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| 650 | 0 | |a Economic forecasting |x Mathematical models. | |
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 650 | 0 | |a Correlation (Statistics) | |
| 650 | 6 | |a Finances |x Modèles économétriques. | |
| 650 | 6 | |a Prévision économique |x Modèles mathématiques. | |
| 650 | 6 | |a Gestion du risque |x Modèles mathématiques. | |
| 650 | 6 | |a Corrélation (Statistique) | |
| 650 | 7 | |a correlation. |2 aat | |
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| 650 | 7 | |a Risk management |x Mathematical models. |2 fast |0 (OCoLC)fst01098179 | |
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| 776 | 0 | 8 | |i Print version: |a Engle, R.F. (Robert F.). |t Anticipating correlations. |d Princeton : Princeton University Press, ©2009 |z 9780691116419 |z 0691116415 |w (OCoLC)269434476 |
| 830 | 0 | |a Econometric Institute lectures. | |
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