Limit search to available items
Book Cover
Author Engle, R. F. (Robert F.)

Title Anticipating correlations : a new paradigm for risk management / Robert Engle
Published Princeton, N.J. ; Oxford : Princeton University Press, [2009]


Location Call no. Vol. Availability
 MELB  332.678 Eng/Aca  AVAILABLE
Description vi, 154 pages ; 25 cm
Series Econometric Institute lectures
Econometric Institute lectures.
Contents Machine generated contents note: 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
Summary "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." --Book Jacket
Notes Formerly CIP. Uk
Bibliography Includes bibliographical references and index
Notes Also available online via the World Wide Web, by subscription to ECHO (Ebrary)
Subject Correlation (Statistics)
Economic forecasting -- Mathematical models.
Finance -- Econometric models.
Risk management -- Mathematical models.
Finance -- Econometrics models
Stock price forecasting.
Author ebrary, Inc.
LC no. 2008939934
ISBN 0691116415 (hbk.)
9780691116419 (hbk.)