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Anticipating correlations : a new paradigm for risk management / Robert Engle.
Author
Engle, R. F. (Robert F.)
[Browse]
Format
Book
Language
English
Published/Created
Princeton, NJ : Princeton University Press, 2009.
Description
vi, 154 pages : illustrations ; 25 cm.
Availability
Available Online
Ebook Central Perpetual, DDA and Subscription Titles
De Gruyter Princeton University Press eBook Package 2000-2013
De Gruyter Princeton University Press eBook-Package Backlist 2000-2013
Copies in the Library
Location
Call Number
Status
Location Service
Notes
Firestone Library - Stacks
HG4637 .E534 2009
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Lewis Library - Stacks
HG4637 .E534 2009
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Details
Subject(s)
Finance
—
Econometric models
[Browse]
Risk management
—
Mathematical models
[Browse]
Economic forecasting
—
Mathematical models
[Browse]
Correlation (Statistics)
[Browse]
Series
Econometric Institute lectures
[More in this series]
The Econometric Institute lecture series
Summary note
"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."--Jacket.
Bibliographic references
Includes bibliographical references (pages 141-149) and index.
Contents
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.
Show 9 more Contents items
ISBN
9780691116419 ((alk. paper))
0691116415 ((alk. paper))
LCCN
2008939934
OCLC
269434476
Statement on language in description
Princeton University Library aims to describe library materials in a manner that is respectful to the individuals and communities who create, use, and are represented in the collections we manage.
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Anticipating correlations [electronic resource] : a new paradigm for risk management / Robert Engle.
id
99125266952106421
Anticipating correlations : a new paradigm for risk management / Robert Engle.
id
SCSB-9052100