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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| Format: | Electronic |
| Language: | English |
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Princeton :
Princeton University Press,
c2009.
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| Series: | Econometric Institute lectures.
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| Subjects: | |
| 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 |
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| 100 | 1 | # | |a Engle, R. F. |q (Robert F.) |
| 245 | 1 | 0 | |a Anticipating correlations |b a new paradigm for risk management / |c Robert Engle. |h [electronic resource] : |
| 260 | # | # | |a Princeton : |b Princeton University Press, |c c2009. |
| 300 | # | # | |a 1 online resource (vi, 154 p.) : |b ill. |
| 490 | 1 | # | |a The Econometric Institute lecture series |
| 500 | # | # | |a Series from introd. |
| 504 | # | # | |a Includes bibliographical references (p. [141]-149) and index. |
| 520 | # | # | |a 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. |
| 588 | # | # | |a Description based on print version record. |
| 650 | # | 0 | |a Finance |x Econometric models. |
| 650 | # | 0 | |a Economic forecasting |x Mathematical models. |
| 650 | # | 0 | |a Risk management |x Mathematical models. |
| 650 | # | 0 | |a Correlation (Statistics) |
| 650 | # | 7 | |a BUSINESS & ECONOMICS |x Investing. |x Personal Finance |2 bisacsh |
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| 776 | 0 | 8 | |a Engle, R.F. (Robert F.). |d Princeton : Princeton University Press, c2009 |i Print version: |t Anticipating correlations. |w (OCoLC)269434476 |z 0691116415 |z 9780691116419 |
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