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

by RobertEngle (Author)

• New

  Illustrated
  2009

  $60.31

  Introduces an important method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). This title 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.