Anticipating Correlations: A New Paradigm for Risk Management (The Econometric and Tinbergen Institutes Lectures)

4 avg rating
( 1 ratings by Goodreads )
 
9780691116419: Anticipating Correlations: A New Paradigm for Risk Management (The Econometric and Tinbergen Institutes Lectures)

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.

"synopsis" may belong to another edition of this title.

From the Inside Flap:


"This book offers a comprehensive and thorough discussion of the Dynamic Conditional Correlation class of models. It presents things in an easy-to-read, coherent, and unified framework, and includes new and interesting empirical findings and economic insights. Anticipating Correlations should serve as the authoritative reference for this important class of models."--Tim Bollerslev, Duke University


"This is a timely volume about how to model the conditional correlations among asset returns. Engle has pioneered much of the field and the book is likely to be popular."--Neil Shephard, University of Oxford


About the Author:

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.

"About this title" may belong to another edition of this title.

Buy New View Book
List Price: US$ 62.00
US$ 58.04

Convert Currency

Shipping: FREE
From United Kingdom to U.S.A.

Destination, Rates & Speeds

Add to Basket

Top Search Results from the AbeBooks Marketplace

1.

Robert Engle
Published by Princeton University Press, United States (2009)
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 1
Seller:
The Book Depository
(London, United Kingdom)
Rating
[?]

Book Description Princeton University Press, United States, 2009. Hardback. Book Condition: New. Language: English . Brand New Book. 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. Bookseller Inventory # AAH9780691116419

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 58.04
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

2.

Engle, Robert
Published by Princeton University Press (2009)
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Quantity Available: 6
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating
[?]

Book Description Princeton University Press, 2009. HRD. Book Condition: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Bookseller Inventory # WP-9780691116419

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 48.54
Convert Currency

Add to Basket

Shipping: US$ 11.87
From United Kingdom to U.S.A.
Destination, Rates & Speeds

3.

Robert Engle
Published by Princeton University Press, United States (2009)
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 1
Seller:
The Book Depository US
(London, United Kingdom)
Rating
[?]

Book Description Princeton University Press, United States, 2009. Hardback. Book Condition: New. Language: English . Brand New Book. 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. Bookseller Inventory # AAH9780691116419

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 60.84
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

4.

Robert Engle
Published by Princeton University Press (2009)
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 1
Seller:
Irish Booksellers
(Rumford, ME, U.S.A.)
Rating
[?]

Book Description Princeton University Press, 2009. Hardcover. Book Condition: New. book. Bookseller Inventory # M0691116415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 61.41
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

5.

Robert Engle
Published by Princeton University Press (2009)
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)
Rating
[?]

Book Description Princeton University Press, 2009. Hardcover. Book Condition: New. Bookseller Inventory # DADAX0691116415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 57.43
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

6.

R Engle
Published by Princeton University Press 2009-02-27, Princeton, N.J. |Oxford (2009)
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 1
Seller:
Blackwell's
(Oxford, OX, United Kingdom)
Rating
[?]

Book Description Princeton University Press 2009-02-27, Princeton, N.J. |Oxford, 2009. hardback. Book Condition: New. Bookseller Inventory # 9780691116419

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 58.87
Convert Currency

Add to Basket

Shipping: US$ 7.92
From United Kingdom to U.S.A.
Destination, Rates & Speeds

7.

Robert Engle
Published by Princeton University Press
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 6
Seller:
THE SAINT BOOKSTORE
(Southport, United Kingdom)
Rating
[?]

Book Description Princeton University Press. Hardcover. Book Condition: New. New copy - Usually dispatched within 2 working days. Bookseller Inventory # B9780691116419

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 62.47
Convert Currency

Add to Basket

Shipping: US$ 9.16
From United Kingdom to U.S.A.
Destination, Rates & Speeds

8.

Engle, Robert
Published by Princeton University Press (2009)
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 2
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Princeton University Press, 2009. Hardcover. Book Condition: New. Never used!. Bookseller Inventory # P110691116415

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 70.56
Convert Currency

Add to Basket

Shipping: US$ 1.99
Within U.S.A.
Destination, Rates & Speeds

9.

Robert Engle
Published by Princeton University Press, United States (2009)
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 10
Seller:
Book Depository hard to find
(London, United Kingdom)
Rating
[?]

Book Description Princeton University Press, United States, 2009. Hardback. Book Condition: New. Language: English . This book usually ship within 10-15 business days and we will endeavor to dispatch orders quicker than this where possible. Brand New Book. 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. Bookseller Inventory # BTE9780691116419

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 73.07
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

10.

ENGLE
ISBN 10: 0691116415 ISBN 13: 9780691116419
New Hardcover Quantity Available: 1
Seller:
Herb Tandree Philosophy Books
(Stroud, GLOS, United Kingdom)
Rating
[?]

Book Description 2009. Hardback. Book Condition: NEW. 9780691116419 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Bookseller Inventory # HTANDREE01145294

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 70.60
Convert Currency

Add to Basket

Shipping: US$ 10.55
From United Kingdom to U.S.A.
Destination, Rates & Speeds

There are more copies of this book

View all search results for this book