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...
| Autor principal: | |
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Princeton :
Princeton University Press
c2009.
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| Colección: | The Econometric Institute lecture series.
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| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b31432426*spi |
| Sumario: | 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. |
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| Notas: | Series from introd. |
| Descripción Física: | vi, 154 p. : il |
| Formato: | Forma de acceso: World Wide Web. |
| Bibliografía: | Incluye referencias bibliográficas (p. [141]-149) e índice. |
| ISBN: | 9781400830190 |
