ENGLISH

Anticipating correlations : a new paradigm for risk management

By R F Engle

Book information

Publisher
Princeton University Press
Year
2009
ISBN
9781400830190, 1400830192, 978-0-691-11641-9
Language
english
Format
PDF
Filesize
3 MB (3585214 bytes)
Series
Econometric Institute lectures
Pages
vi, 154 p. : ill\165
Topic
Business Management
Time added
2014-06-12 06:00:00
Менеджмент;Риск-менеджмент

Description

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 es. Read more...

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