Anticipating correlations: a new paradigm for risk management
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2009
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. [141] - 149 |
| Beschreibung: | VI, 154 S. graph. Darst. |
| ISBN: | 9780691116419 |
Internformat
MARC
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| 100 | 1 | |a Engle, Robert F. |d 1942- |e Verfasser |0 (DE-588)128388528 |4 aut | |
| 245 | 1 | 0 | |a Anticipating correlations |b a new paradigm for risk management |c Robert Engle |
| 264 | 1 | |a Princeton, NJ [u.a.] |b Princeton Univ. Press |c 2009 | |
| 300 | |a VI, 154 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Literaturverz. S. [141] - 149 | ||
| 650 | 7 | |a Correlatieanalyse |2 gtt | |
| 650 | 4 | |a Corrélation (Statistique) | |
| 650 | 4 | |a Finances - Modèles économétriques | |
| 650 | 4 | |a Gestion du risque - Modèles mathématiques | |
| 650 | 4 | |a Prévision économique - Modèles mathématiques | |
| 650 | 7 | |a Risicobeheersing |2 gtt | |
| 650 | 4 | |a Mathematisches Modell | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Correlation (Statistics) | |
| 650 | 4 | |a Economic forecasting |x Mathematical models | |
| 650 | 4 | |a Finance |x Econometric models | |
| 650 | 4 | |a Risk management |x Mathematical models | |
| 650 | 0 | 7 | |a Korrelation |0 (DE-588)4165343-9 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-017131863 | ||
Datensatz im Suchindex
| _version_ | 1804138638309588992 |
|---|---|
| adam_text | Contents
Introduction
1
Correlation Economics
1.1
Introduction
1.2
How Big Are Correlations?
1.3
The Economics of Correlations
1.4
An Economic Model of Correlations
1.5
Additional Influences on Correlations
2
Correlations in Theory
2.1
Conditional Correlations
2.2
Copulas
2.3
Dependence Measures
2.4
On the Value of Accurate Correlations
vii
1
1
3
6
9
13
15
15
17
21
25
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
4
Dynamic Conditional Correlation
43
4.1
DE-GARCHING
43
4.2
Estimating the Quasi-Correlations
45
4.3
RescaUng in
DCC
48
4.4
Estimation of the
DCC
Model
55
5
DCC
Performance
59
5.1
Monte Carlo Performance of
DCC
59
5.2
Empirical Performance
61
6
The MacGyver Method
74
vi
Contents
7
Generalized
DCC
Models
80
7.1
Theoretical Specification
80
72
Estimating Correlations for Global Stock and Bond Returns
83
8
FACTOR
DCC
88
8.1
Formulation of Factor Versions of
DCC
88
8.2
Estimation of Factor Models
93
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
10
Credit Risk and Correlations
122
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
12
Conclusions
137
References
141
Index
151
|
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| id | DE-604.BV035327391 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T21:31:22Z |
| institution | BVB |
| isbn | 9780691116419 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017131863 |
| oclc_num | 269434476 |
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| physical | VI, 154 S. graph. Darst. |
| publishDate | 2009 |
| publishDateSearch | 2009 |
| publishDateSort | 2009 |
| publisher | Princeton Univ. Press |
| record_format | marc |
| spelling | Engle, Robert F. 1942- Verfasser (DE-588)128388528 aut Anticipating correlations a new paradigm for risk management Robert Engle Princeton, NJ [u.a.] Princeton Univ. Press 2009 VI, 154 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Literaturverz. S. [141] - 149 Correlatieanalyse gtt Corrélation (Statistique) Finances - Modèles économétriques Gestion du risque - Modèles mathématiques Prévision économique - Modèles mathématiques Risicobeheersing gtt Mathematisches Modell Ökonometrisches Modell Correlation (Statistics) Economic forecasting Mathematical models Finance Econometric models Risk management Mathematical models Korrelation (DE-588)4165343-9 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 s Risikomanagement (DE-588)4121590-4 s Korrelation (DE-588)4165343-9 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017131863&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Engle, Robert F. 1942- Anticipating correlations a new paradigm for risk management Correlatieanalyse gtt Corrélation (Statistique) Finances - Modèles économétriques Gestion du risque - Modèles mathématiques Prévision économique - Modèles mathématiques Risicobeheersing gtt Mathematisches Modell Ökonometrisches Modell Correlation (Statistics) Economic forecasting Mathematical models Finance Econometric models Risk management Mathematical models Korrelation (DE-588)4165343-9 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| subject_GND | (DE-588)4165343-9 (DE-588)4121590-4 (DE-588)4073788-3 |
| title | Anticipating correlations a new paradigm for risk management |
| title_auth | Anticipating correlations a new paradigm for risk management |
| title_exact_search | Anticipating correlations a new paradigm for risk management |
| title_full | Anticipating correlations a new paradigm for risk management Robert Engle |
| title_fullStr | Anticipating correlations a new paradigm for risk management Robert Engle |
| title_full_unstemmed | Anticipating correlations a new paradigm for risk management Robert Engle |
| title_short | Anticipating correlations |
| title_sort | anticipating correlations a new paradigm for risk management |
| title_sub | a new paradigm for risk management |
| topic | Correlatieanalyse gtt Corrélation (Statistique) Finances - Modèles économétriques Gestion du risque - Modèles mathématiques Prévision économique - Modèles mathématiques Risicobeheersing gtt Mathematisches Modell Ökonometrisches Modell Correlation (Statistics) Economic forecasting Mathematical models Finance Econometric models Risk management Mathematical models Korrelation (DE-588)4165343-9 gnd Risikomanagement (DE-588)4121590-4 gnd Kreditmarkt (DE-588)4073788-3 gnd |
| topic_facet | Correlatieanalyse Corrélation (Statistique) Finances - Modèles économétriques Gestion du risque - Modèles mathématiques Prévision économique - Modèles mathématiques Risicobeheersing Mathematisches Modell Ökonometrisches Modell Correlation (Statistics) Economic forecasting Mathematical models Finance Econometric models Risk management Mathematical models Korrelation Risikomanagement Kreditmarkt |
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