01042nam a2200265 i 4500991004121209707536090129s2004 it 000 0 ita d8870484130b13805654-39ule_instDip.to Filosofiaita370Quarta Gaetano451323Sguardo e dialogo :saggi /Gaetano Quarta ; a cura di Carlo Alberto Augieri, Filomena De Lumè, Mario SignoreLecce :Milella,2004322 p. :ill. ;25 cmAugieri, Carlo AlbertoDe Lumè, FilomenaSignore, Mario.b1380565402-04-1429-01-09991004121209707536LE005 370 QUA03. 0112005000192548le005-E20.00-l- 01110.i1492308729-01-09LE005 370 QUA03. 01 c. 0222005000194856le005-E13.00-l- 01010.i1499044110-07-09Sguardo e dialogo1226197UNISALENTOle00529-01-09ma -itait 0001084nam0 22002531i 450 UON0052732320241220012216.84920241220d1927 |0itac50 babulBG|||| |||||Miniatjurite na manasievata hronika v''v Vatikanskata BibliotekaCod. Vat. Slav. IIBogdan Dimitrov FilovSofiaNar. Muzej1927 84 pagine, 40 litografie4 tavole a colori37 cm.001UON000293232001 Codices e Vaticanis selecti quam simillime expressi17BGSofijaUONL003208FilovBogdan DimitrovUONV296654Naroden'' muzejUONV296655650ITSOL20241227RICASIBA - SISTEMA BIBLIOTECARIO DI ATENEOUONSIUON00527323SIBA - SISTEMA BIBLIOTECARIO DI ATENEOSI GRANDI FORC 0027 SI SL 1783 7 0027 Miniatjurite na manasievata hronika v''v Vatikanskata Biblioteka4303553UNIOR04741nam 2200805 a 450 991096255510332120200520144314.097866121582169781282158214128215821X9781400830190140083019210.1515/9781400830190(CKB)1000000000788493(EBL)457785(OCoLC)438187878(SSID)ssj0000104142(PQKBManifestationID)11128139(PQKBTitleCode)TC0000104142(PQKBWorkID)10078621(PQKB)11633627(MdBmJHUP)muse36492(DE-B1597)446757(OCoLC)979685621(DE-B1597)9781400830190(Au-PeEL)EBL457785(CaPaEBR)ebr10312447(CaONFJC)MIL215821(PPN)170268608(Perlego)734619(MiAaPQ)EBC457785(FR-PaCSA)10294909(FRCYB10294909)10294909(EXLCZ)99100000000078849320090910d2009 uy 0engur|n|---|||||txtccrAnticipating correlations a new paradigm for risk management /Robert EngleCourse BookPrinceton Princeton University Press20091 online resource (165 p.)Econometric Institute lecture seriesDescription based upon print version of record.9780691116419 0691116415 Includes bibliographical references (p. [141]-149) and index.Frontmatter --Contents --Introduction --1. Correlation Economics --2. Correlations in Theory --3. Models for Correlation --4. Dynamic Conditional Correlation --5. DCC Performance --6. The MacGyver Method --7. Generalized DCC Models --8. FACTOR DCC --9. Anticipating Correlations --10. Credit Risk and Correlations --11. Econometric Analysis of the DCC Model --12. Conclusions --References --IndexFinancial 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.Econometric Institute lectures.FinanceEconometric modelsEconomic forecastingMathematical modelsRisk managementMathematical modelsCorrelation (Statistics)FinanceEconometric models.Economic forecastingMathematical models.Risk managementMathematical models.Correlation (Statistics)332.678QK 620BVBrvkEngle R. F(Robert F.)89165MiAaPQMiAaPQMiAaPQBOOK9910962555103321Anticipating correlations1137791UNINA