Anticipating correlations a new paradigm for risk management /

• Main Author: Engle, R. F.
• Format: Electronic
• Language: English
• Published: Princeton : Princeton University Press, c2009.
• Series: Econometric Institute lectures.
• Subjects: Finance > Econometric models.; Economic forecasting > Mathematical models.; Risk management > Mathematical models.; Correlation (Statistics); BUSINESS & ECONOMICS > Investing. > Personal Finance; Electronic books.
• Online Access: ebrary; View fulltext via EzAccess; MyiLibrary; https://ezaccess.library.uitm.edu.my/login?url=http://swb.eblib.com/patron/FullRecord.aspx?p=457785
• Item Description: Series from introd.
• Physical Description: 1 online resource (vi, 154 p.) : ill.
• Bibliography: Includes bibliographical references (p. [141]-149) and index.
• ISBN: 9781400830190 (electronic bk.); 1400830192 (electronic bk.); 0691116415 (cloth); 9780691116419 (cloth)

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.