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Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle
| Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-15821-X
9786612158216 1-4008-3019-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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 -- Index |
| Record Nr. | UNINA-9910455225903321 |
Engle R. F (Robert F.)
|
||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle
| Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| ISBN |
1-282-15821-X
9786612158216 1-4008-3019-2 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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 -- Index |
| Record Nr. | UNINA-9910778220803321 |
|
Engle R. F (Robert F.)
|
||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle
| Anticipating correlations [[electronic resource] ] : a new paradigm for risk management / / Robert Engle |
| Autore | Engle R. F (Robert F.) |
| Edizione | [Course Book] |
| Pubbl/distr/stampa | Princeton, : Princeton University Press, 2009 |
| Descrizione fisica | 1 online resource (165 p.) |
| Disciplina | 332.678 |
| Collana | Econometric Institute lecture series |
| Soggetto topico |
Finance - Econometric models
Economic forecasting - Mathematical models Risk management - Mathematical models Correlation (Statistics) |
| ISBN |
1-282-15821-X
9786612158216 1-4008-3019-2 |
| Classificazione | QK 620 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 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 -- Index |
| Record Nr. | UNINA-9910813422903321 |
|
Engle R. F (Robert F.)
|
||
| Princeton, : Princeton University Press, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||