Anticipating correlations [ a new paradigm for risk management

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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:	Correlation (Statistics) Economic forecasting > Mathematical models Finance > Econometric models Risk management > Mathematical models
Online Access:	NetLibrary

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