Anticipating Correlations: A New Paradigm for Risk Management

by Robert Engle and Robert F. Engle

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...

• Format: Hardcover
• Language: English
• ISBN: 0691116415
• ISBN13: 9780691116419
• Release Date: February 2009
• Publisher: Princeton University Press
• Length: 176 Pages
• Weight: 0.90 lbs.
• Dimensions: 0.8" x 6.2" x 9.3"