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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Bibliographic Details
Main Author: Engle, R. F. [ (Robert F.)] (Author)
Format: Book
Language:English
Published: Princeton, New Jersey : Princeton University Press , c2009
Series:Econometric Institute lecture series
Subjects:
Online Access:NetLibrary

MARC

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020 |a 0691116415 (cloth) 
020 |a 1400830192 (electronic bk.) 
020 |a 6612158212 
020 |a 9780691116419 (cloth) 
020 |a 9781400830190 (electronic bk.) 
020 |a 9786612158216 
090 0 0 |a HG106   |b .E54 2009 
100 1 |a Engle, R. F. [  |q (Robert F.)] ,   |e author 
245 1 0 |a Anticipating correlations [  |h electronic resource] :   |b a new paradigm for risk management   |c Robert Engle 
260 |a Princeton, New Jersey :   |b Princeton University Press ,   |c c2009 
300 |a 1 online resource (vi, 154 p.) :   |b ill 
440 0 |a Econometric Institute lecture series 
500 |a Description based on print version record 
500 |a Series from introd 
504 |a Includes bibliographical references (p [141]-149) and index 
520 |a 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. 
650 0 |a Correlation (Statistics) 
650 0 |a Economic forecasting   |x Mathematical models 
650 0 |a Finance   |x Econometric models 
650 0 |a Risk management   |x Mathematical models 
856 4 0 |3 NetLibrary   |u http://www.netlibrary.com/urlapi.asp?action=summary&v=1&bookid=286717 
999 |a 1000136673   |b Electronic Resource   |c OPEN SHELF (30 DAYS)   |e Gong Badak Campus