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9780691116419

Anticipating Correlations: A New Paradigm for Risk Management

Anticipating Correlations: A New Paradigm for Risk Management
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Product details

  • ISBN-13: 9780691116419
  • ISBN: 0691116415
  • Publication Date: 2009
  • Publisher: Princeton University Press

AUTHOR

Engle, Robert, Engle, R. F.

SUMMARY

Robert Engle introduces an important new method for estimating correlations for large systems of assets - dynamic condition correlation (DCC). He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and presents a range of important applications of DCC.Engle, Robert is the author of 'Anticipating Correlations: A New Paradigm for Risk Management', published 2009 under ISBN 9780691116419 and ISBN 0691116415.

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