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Anticipating Correlations : A New Paradigm for Risk Management / Robert Engle.

By: Material type: TextTextSeries: The Econometric and Tinbergen Institutes LecturesPublisher: Princeton, NJ : Princeton University Press, [2009]Copyright date: ©2009Edition: Course BookDescription: 1 online resource (176 p.) : 30 line illusContent type:
Media type:
Carrier type:
ISBN:
  • 9780691116419
  • 9781400830190
Subject(s): LOC classification:
  • HG106 .E54 2009eb
Other classification:
  • online - DeGruyter
Online resources: Available additional physical forms:
  • Issued also in print.
Contents:
Frontmatter -- Contents -- Introduction -- 1. Correlation Economics -- 2. Correlations in Theory -- 3. Models for Correlation -- 4. Dynamic Conditional Correlation -- 5. DCC Performance -- 6. The MacGyver Method -- 7. Generalized DCC Models -- 8. FACTOR DCC -- 9. Anticipating Correlations -- 10. Credit Risk and Correlations -- 11. Econometric Analysis of the DCC Model -- 12. Conclusions -- References -- Index
Summary: 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 the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.
Holdings
Item type Current library Call number URL Status Notes Barcode
eBook eBook Biblioteca "Angelicum" Pont. Univ. S.Tommaso d'Aquino Nuvola online online - DeGruyter (Browse shelf(Opens below)) Online access Not for loan (Accesso limitato) Accesso per gli utenti autorizzati / Access for authorized users (dgr)9781400830190

Frontmatter -- Contents -- Introduction -- 1. Correlation Economics -- 2. Correlations in Theory -- 3. Models for Correlation -- 4. Dynamic Conditional Correlation -- 5. DCC Performance -- 6. The MacGyver Method -- 7. Generalized DCC Models -- 8. FACTOR DCC -- 9. Anticipating Correlations -- 10. Credit Risk and Correlations -- 11. Econometric Analysis of the DCC Model -- 12. Conclusions -- References -- Index

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http://purl.org/coar/access_right/c_16ec

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 the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.

Issued also in print.

Mode of access: Internet via World Wide Web.

In English.

Description based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)