Anticipating Correlations 2024 pdf epub mobi 电子书


Anticipating Correlations

简体网页||繁体网页

Anticipating Correlations 2024 pdf epub mobi 电子书 著者简介


Anticipating Correlations 电子书 图书目录




点击这里下载
    


想要找书就要到 本本书屋
立刻按 ctrl+D收藏本页
你会得到大惊喜!!

发表于2024-11-23

Anticipating Correlations 2024 pdf epub mobi 电子书

Anticipating Correlations 2024 pdf epub mobi 电子书

Anticipating Correlations 2024 pdf epub mobi 电子书



喜欢 Anticipating Correlations 电子书 的读者还喜欢


Anticipating Correlations 电子书 读后感

评分

评分

评分

评分

评分

类似图书 点击查看全场最低价
出版者:Princeton University Press
作者:Robert Engle
出品人:
页数:176
译者:
出版时间:2009-01-19
价格:USD 42.00
装帧:Hardcover
isbn号码:9780691116419
丛书系列:

图书标签: Finance  Economics   


Anticipating Correlations 2024 pdf epub mobi 电子书 图书描述

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.

Anticipating Correlations 2024 pdf epub mobi 电子书

Anticipating Correlations 2024 pdf epub mobi 电子书
想要找书就要到 本本书屋
立刻按 ctrl+D收藏本页
你会得到大惊喜!!

Anticipating Correlations 2024 pdf epub mobi 用户评价

评分

评分

评分

评分

评分

Anticipating Correlations 2024 pdf epub mobi 电子书


分享链接









相关图书




本站所有内容均为互联网搜索引擎提供的公开搜索信息,本站不存储任何数据与内容,任何内容与数据均与本站无关,如有需要请联系相关搜索引擎包括但不限于百度google,bing,sogou

友情链接

© 2024 onlinetoolsland.com All Rights Reserved. 本本书屋 版权所有