Anticipating Correlations: A New Paradigm for Risk Management by Robert Engle (E

The Nile on eBay   FREE SHIPPING UK WIDE   Anticipating Correlations by Robert Engle

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.

FORMATHardcover LANGUAGEEnglish CONDITIONBrand New Publisher Description

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 estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle 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. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model.He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.

Notes

New forecasting tools for researchers, financial analysts, risk managers, derivative quants and graduate students.

Back Cover

"This book offers a comprehensive and thorough discussion of the Dynamic Conditional Correlation class of models. It presents things in an easy-to-read, coherent, and unified framework, and includes new and interesting empirical findings and economic insights. Anticipating Correlations should serve as the authoritative reference for this important class of models." --Tim Bollerslev, Duke University "This is a timely volume about how to model the conditional correlations among asset returns. Engle has pioneered much of the field and the book is likely to be popular." --Neil Shephard, University of Oxford

Flap

"This book offers a comprehensive and thorough discussion of the Dynamic Conditional Correlation class of models. It presents things in an easy-to-read, coherent, and unified framework, and includes new and interesting empirical findings and economic insights. Anticipating Correlations should serve as the authoritative reference for this important class of models." --Tim Bollerslev, Duke University "This is a timely volume about how to model the conditional correlations among asset returns. Engle has pioneered much of the field and the book is likely to be popular." --Neil Shephard, University of Oxford

Author Biography

Robert Engle is the Michael Armellino Professor in the Management of Financial Services at New York University's Leonard N. Stern School of Business. His books include Cointegration, Causality, and Forecasting. He was awarded the 2003 Nobel Prize in economics.

Table of Contents

Introduction vii Chapter 1: Correlation Economics 1 1.1 Introduction 1 1.2 How Big Are Correlations? 3 1.3 The Economics of Correlations 6 1.4 An Economic Model of Correlations 9 1.5 Additional Influences on Correlations 13 Chapter 2: Correlations in Theory 15 2.1 Conditional Correlations 15 2.2 Copulas 17 2.3 Dependence Measures 21 2.4 On the Value of Accurate Correlations 25 Chapter 3: Models for Correlation 29 3.1 The Moving Average and the Exponential Smoother 30 3.2 Vector GARCH 32 3.3 Matrix Formulations and Results for Vector GARCH 33 3.4 Constant Conditional Correlation 37 3.5 Orthogonal GARCH 37 3.6 Dynamic Conditional Correlation 39 3.7 Alternative Approaches and Expanded Data Sets 41 Chapter 4: Dynamic Conditional Correlation 43 4.1 DE-GARCHING 43 4.2 Estimating the Quasi-Correlations 45 4.3 Rescaling in DCC 48 4.4 Estimation of the DCC Model 55 Chapter 5: DCC Performance 59 5.1 Monte Carlo Performance of DCC 59 5.2 Empirical Performance 61 Chapter 6: The MacGyver Method 74 Chapter 7: Generalized DCC Models 80 7.1 Theoretical Specification 80 7.2 Estimating Correlations for Global Stock and Bond Returns 83 Chapter 8: FACTOR DCC 88 8.1 Formulation of Factor Versions of DCC 88 8.2 Estimation of Factor Models 93 Chapter 9: Anticipating Correlations 103 9.1 Forecasting 103 9.2 Long-Run Forecasting 108 9.3 Hedging Performance In-Sample 111 9.4 Out-of-Sample Hedging 112 9.5 Forecasting Risk in the Summer of 2007 117 Chapter 10: Credit Risk and Correlations 122 Chapter 11: Econometric Analysis of the DCC Model 130 11.1 Variance Targeting 130 11.2 Correlation Targeting 131 11.3 Asymptotic Distribution of DCC 134 Chapter 12: Conclusions 137 References 141 Index 151

Review

"No doubt much more literature will develop in this area. Professor Engle has done a service by laying out how his mind is moving and thinking at the current time."--Peter Tompkins, The Actuary

Promotional

This book offers a comprehensive and thorough discussion of the Dynamic Conditional Correlation class of models. It presents things in an easy-to-read, coherent, and unified framework, and includes new and interesting empirical findings and economic insights. Anticipating Correlations should serve as the authoritative reference for this important class of models. -- Tim Bollerslev, Duke University This is a timely volume about how to model the conditional correlations among asset returns. Engle has pioneered much of the field and the book is likely to be popular. -- Neil Shephard, University of Oxford

Review Quote

"This is a timely volume about how to model the conditional correlations among asset returns. Engle has pioneered much of the field and the book is likely to be popular." --Neil Shephard, University of Oxford

Details ISBN0691116415 Author Robert Engle Short Title ANTICIPATING CORRELATIONS Publisher Princeton University Press Language English ISBN-10 0691116415 ISBN-13 9780691116419 Media Book Format Hardcover Year 2009 Imprint Princeton University Press Subtitle A New Paradigm for Risk Management Place of Publication New Jersey Country of Publication United States Birth 1945 Translated from English DOI 10.1604/9780691116419 UK Release Date 2009-02-08 NZ Release Date 2009-02-08 US Release Date 2009-02-08 Pages 176 Series The Econometric and Tinbergen Institutes Lectures Publication Date 2009-02-08 DEWEY 658.155 Illustrations 30 line illus. Audience Undergraduate AU Release Date 2009-04-19 We've got this

At The Nile, if you're looking for it, we've got it.With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love!

30 DAY RETURN POLICY

No questions asked, 30 day returns!

FREE DELIVERY

No matter where you are in the UK, delivery is free.

SECURE PAYMENT

Peace of mind by paying through PayPal and eBay Buyer Protection TheNile_Item_ID:161685972;