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008 210830t20092009nju fo d z eng d
020 _a9780691116419
_qprint
020 _a9781400830190
_qPDF
024 7 _a10.1515/9781400830190
_2doi
035 _a(DE-B1597)9781400830190
035 _a(DE-B1597)446757
035 _a(OCoLC)979685621
040 _aDE-B1597
_beng
_cDE-B1597
_erda
050 4 _aHG106
_b.E54 2009eb
072 7 _aBUS021000
_2bisacsh
084 _aonline - DeGruyter
100 1 _aEngle, Robert
_eautore
245 1 0 _aAnticipating Correlations :
_bA New Paradigm for Risk Management /
_cRobert Engle.
250 _aCourse Book
264 1 _aPrinceton, NJ :
_bPrinceton University Press,
_c[2009]
264 4 _c©2009
300 _a1 online resource (176 p.) :
_b30 line illus.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 0 _aThe Econometric and Tinbergen Institutes Lectures
505 0 0 _tFrontmatter --
_tContents --
_tIntroduction --
_t1. Correlation Economics --
_t2. Correlations in Theory --
_t3. Models for Correlation --
_t4. Dynamic Conditional Correlation --
_t5. DCC Performance --
_t6. The MacGyver Method --
_t7. Generalized DCC Models --
_t8. FACTOR DCC --
_t9. Anticipating Correlations --
_t10. Credit Risk and Correlations --
_t11. Econometric Analysis of the DCC Model --
_t12. Conclusions --
_tReferences --
_tIndex
506 0 _arestricted access
_uhttp://purl.org/coar/access_right/c_16ec
_fonline access with authorization
_2star
520 _aFinancial 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.
530 _aIssued also in print.
538 _aMode of access: Internet via World Wide Web.
546 _aIn English.
588 0 _aDescription based on online resource; title from PDF title page (publisher's Web site, viewed 30. Aug 2021)
650 0 _aCorrelation (Statistics).
650 0 _aEconomic forecasting
_xMathematical models.
650 0 _aFinance
_xEconometric models.
650 0 _aRisk management
_xMathematical models.
650 7 _aBUSINESS & ECONOMICS / Econometrics.
_2bisacsh
850 _aIT-RoAPU
856 4 0 _uhttps://doi.org/10.1515/9781400830190
856 4 0 _uhttps://www.degruyter.com/isbn/9781400830190
856 4 2 _3Cover
_uhttps://www.degruyter.com/cover/covers/9781400830190.jpg
942 _cEB
999 _c205846
_d205846