Anticipating correlations [ a new paradigm for risk management
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...
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| Format: | Book |
| Language: | English |
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Princeton, New Jersey :
Princeton University Press ,
c2009
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| Series: | Econometric Institute lecture series
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| Subjects: | |
| Online Access: | NetLibrary |
| Summary: | 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. |
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| Item Description: | Description based on print version record Series from introd |
| Physical Description: | 1 online resource (vi, 154 p.) : ill |
| Bibliography: | Includes bibliographical references (p [141]-149) and index |
| ISBN: | 0691116415 (cloth) 1400830192 (electronic bk.) 6612158212 9780691116419 (cloth) 9781400830190 (electronic bk.) 9786612158216 |