LEADER 04579nam 2200733 a 450 001 9910813422903321 005 20220928164015.0 010 $a1-282-15821-X 010 $a9786612158216 010 $a1-4008-3019-2 024 7 $a10.1515/9781400830190 035 $a(CKB)1000000000788493 035 $a(EBL)457785 035 $a(OCoLC)438187878 035 $a(SSID)ssj0000104142 035 $a(PQKBManifestationID)11128139 035 $a(PQKBTitleCode)TC0000104142 035 $a(PQKBWorkID)10078621 035 $a(PQKB)11633627 035 $a(MdBmJHUP)muse36492 035 $a(DE-B1597)446757 035 $a(OCoLC)979685621 035 $a(DE-B1597)9781400830190 035 $a(Au-PeEL)EBL457785 035 $a(CaPaEBR)ebr10312447 035 $a(CaONFJC)MIL215821 035 $a(PPN)170268608 035 $a(MiAaPQ)EBC457785 035 $a(EXLCZ)991000000000788493 100 $a20090910d2009 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aAnticipating correlations$b[electronic resource] $ea new paradigm for risk management /$fRobert Engle 205 $aCourse Book 210 $aPrinceton $cPrinceton University Press$d2009 215 $a1 online resource (165 p.) 225 1 $aEconometric Institute lecture series 300 $aDescription based upon print version of record. 311 $a0-691-11641-5 320 $aIncludes bibliographical references (p. [141]-149) and index. 327 $tFrontmatter --$tContents --$tIntroduction --$t1. Correlation Economics --$t2. Correlations in Theory --$t3. Models for Correlation --$t4. Dynamic Conditional Correlation --$t5. DCC Performance --$t6. The MacGyver Method --$t7. Generalized DCC Models --$t8. FACTOR DCC --$t9. Anticipating Correlations --$t10. Credit Risk and Correlations --$t11. Econometric Analysis of the DCC Model --$t12. Conclusions --$tReferences --$tIndex 330 $aFinancial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of correlations in financial decision making, and addresses the economic underpinnings and theoretical properties of correlations and their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students. 410 0$aEconometric Institute lectures. 606 $aFinance$xEconometric models 606 $aEconomic forecasting$xMathematical models 606 $aRisk management$xMathematical models 606 $aCorrelation (Statistics) 615 0$aFinance$xEconometric models. 615 0$aEconomic forecasting$xMathematical models. 615 0$aRisk management$xMathematical models. 615 0$aCorrelation (Statistics) 676 $a332.678 686 $aQK 620$qBVB$2rvk 700 $aEngle$b R. F$g(Robert F.)$089165 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910813422903321 996 $aAnticipating correlations$91137791 997 $aUNINA