Anticipating Correlations PDF ePub eBook

Books Info:

Anticipating Correlations free pdf Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. 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. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.

About Robert Engle

Robert Engle is the Michael Armellino Professor in the Management of Financial Services at New York University's Leonard N. Stern School of Business. His books include "Cointegration, Causality, and Forecasting". He was awarded the 2003 Nobel Prize in economics.

Details Book

Author : Robert Engle
Publisher : Princeton University Press
Data Published : 19 January 2009
ISBN : 0691116415
EAN : 9780691116419
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 176 pages
Age + : 15 years
Language : English
Rating :

Reviews Anticipating Correlations



17 Comments Add a comment




Related eBooks Download


  • Histology Flash Cards with Clinical Correlations free pdfHistology Flash Cards with Clinical Correlations

    This clinically relevant histology flash card set is based on the concepts and full-color illustrations and micrographs in "Cui: Atlas of Histology with Functional and Clinical Correlations"..


  • Atlas of Histology with Functional and Clinical Correlations free pdfAtlas of Histology with Functional and Clinical Correlations

    A comprehensive histology atlas with EXTRAS. The unique Atlas of Histology with Functional and Clinical Correlations covers fundamental histology topics. integrates this essential information with clinical considerations..


  • Difiore's Atlas of Histology with Functional Correlations free pdfDifiore's Atlas of Histology with Functional Correlations

    DiFiore's Atlas of Histology with Functional Correlations explains basic histology concepts through realistic. full-color composite and idealized illustrations of histologic structures..


  • The AMA Handbook of Financial Risk Management free pdfThe AMA Handbook of Financial Risk Management

    Managing financial risks comes down to understanding how to reduce a complex business environment into workable concepts and models. "The AMA Handbook of Financial Risk Management" provides readers with the tools they need for dealing with the most important areas of financial decision making..


  • Infrared Spectroscopy of Organic Molecules free pdfInfrared Spectroscopy of Organic Molecules

    This needs-based book summarizes important correlations about interpretation of structures - i.r. frequencies (both theoretical and experimental) from a vast amount of data available in a number of excellent encyclopedic books..


  • Anticipating Correlations free pdfAnticipating Correlations

    . Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly ch