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Anticipating Correlations: A New Paradigm for Risk Management
Robert Engle
€ 71.29
€ 55.72
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Description for Anticipating Correlations: A New Paradigm for Risk Management
Hardback. 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 making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. Series: The Econometric and Tinbergen Institutes Lectures. Num Pages: 176 pages, 30 line illus. BIC Classification: GPQD; KJMV1. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 242 x 162 x 18. Weight in Grams: 400.
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 estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses ... Read more
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 estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses ... Read more
Product Details
Format
Hardback
Publication date
2009
Publisher
Princeton University Press
Number of pages
168
Condition
New
Series
The Econometric and Tinbergen Institutes Lectures
Number of Pages
176
Place of Publication
New Jersey, United States
ISBN
9780691116419
SKU
V9780691116419
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-1
About Robert Engle
Robert Engle is the Michael Armellino Professor in the Management of Financial Services at New York University's Leonard N. Stern School of Business. His books include "Cointegration, Causality, and Forecasting". He was awarded the 2003 Nobel Prize in economics.
Reviews for Anticipating Correlations: A New Paradigm for Risk Management
"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
Peter Tompkins, The Actuary