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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...
| Autor principal: | |
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| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press,
2009.
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| Colección: | Book collections on Project MUSE.
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| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 006 | m o d | ||
| 007 | cr||||||||nn|n | ||
| 008 | 090923s2009 nju o 00 0 eng d | ||
| 020 | |a 9781400830190 | ||
| 020 | |z 9780691116419 | ||
| 035 | |a (OCoLC)438187878 | ||
| 040 | |a MdBmJHUP |c MdBmJHUP | ||
| 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. |
| 264 | 1 | |a Princeton : |b Princeton University Press, |c 2009. | |
| 264 | 3 | |a Baltimore, Md. : |b Project MUSE, |c 2015 | |
| 264 | 4 | |c ©2009. | |
| 300 | |a 1 online resource (176 pages): |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 490 | 0 | |a The Econometric Institute lecture series | |
| 500 | |a Series from introduction | ||
| 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. | |
| 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 | |a Description based on print version record. | ||
| 650 | 1 | 7 | |a Correlatieanalyse. |2 gtt |
| 650 | 1 | 7 | |a Risicobeheersing. |2 gtt |
| 650 | 7 | |a Risikomanagement |2 gnd | |
| 650 | 7 | |a Kreditmarkt |2 gnd | |
| 650 | 7 | |a Korrelation |2 gnd | |
| 650 | 7 | |a Risk management |x Mathematical models. |2 fast |0 (OCoLC)fst01098179 | |
| 650 | 7 | |a Finance |x Econometric models. |2 fast |0 (OCoLC)fst00924377 | |
| 650 | 7 | |a Economic forecasting |x Mathematical models. |2 fast |0 (OCoLC)fst00901951 | |
| 650 | 7 | |a Correlation (Statistics) |2 fast |0 (OCoLC)fst00880312 | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Econometrics. |2 bisacsh | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Personal Finance |x Investing. |2 bisacsh | |
| 650 | 7 | |a correlation. |2 aat | |
| 650 | 6 | |a Correlation (Statistique) | |
| 650 | 6 | |a Gestion du risque |x Modeles mathematiques. | |
| 650 | 6 | |a Prevision economique |x Modeles mathematiques. | |
| 650 | 6 | |a Finances |x Modeles econometriques. | |
| 650 | 0 | |a Correlation (Statistics) | |
| 650 | 0 | |a Risk management |x Mathematical models. | |
| 650 | 0 | |a Economic forecasting |x Mathematical models. | |
| 650 | 0 | |a Finance |x Econometric models. | |
| 655 | 7 | |a Electronic books. |2 local | |
| 710 | 2 | |a Project Muse. |e distributor | |
| 830 | 0 | |a Book collections on Project MUSE. | |
| 856 | 4 | 0 | |z Texto completo |u https://projectmuse.uam.elogim.com/book/30032/ |
| 945 | |a Project MUSE - Custom Collection | ||
| 945 | |a Project MUSE - Archive Complete Supplement III | ||
| 945 | |a Project MUSE - Archive Political Science and Policy Studies Supplement III | ||