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

Copies in the Library

Location Call Number Status Location Service Notes
Firestone Library - Stacks HG4637 .E534 2009 Browse related items Request
    Lewis Library - Stacks HG4637 .E534 2009 Browse related items Request

      Details

      Subject(s)
      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.
      ISBN
      • 9780691116419 ((alk. paper))
      • 0691116415 ((alk. paper))
      LCCN
      2008939934
      OCLC
      269434476
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