Anticipating correlations a new paradigm for risk management /

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 t...

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Bibliographic Details
Main Author: Engle, R. F.
Format: Electronic
Language:English
Published: Princeton : Princeton University Press, c2009.
Series:Econometric Institute lectures.
Subjects:
Online Access:ebrary
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