Anticipating correlations: a new paradigm for risk management
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Princeton, NJ [u.a.]
Princeton Univ. Press
2009
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. [141] - 149 |
| Physical Description: | VI, 154 S. graph. Darst. |
| ISBN: | 9780691116419 |
Staff View
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV035327391 | ||
| 003 | DE-604 | ||
| 005 | 20101028 | ||
| 007 | t| | ||
| 008 | 090223s2009 xx d||| |||| 00||| eng d | ||
| 020 | |a 9780691116419 |9 978-0-691-11641-9 | ||
| 035 | |a (OCoLC)269434476 | ||
| 035 | |a (DE-599)HBZHT015590157 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-N2 |a DE-945 |a DE-1047 |a DE-355 |a DE-384 |a DE-20 |a DE-29T |a DE-11 | ||
| 050 | 0 | |a HG106 | |
| 082 | 0 | |a 332.678 |2 22 | |
| 084 | |a QK 620 |0 (DE-625)141668: |2 rvk | ||
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 084 | |a QP 720 |0 (DE-625)141929: |2 rvk | ||
| 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 Kreditmarkt |0 (DE-588)4073788-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Risikomanagement |0 (DE-588)4121590-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Kreditmarkt |0 (DE-588)4073788-3 |D s |
| 689 | 0 | 1 | |a Risikomanagement |0 (DE-588)4121590-4 |D s |
| 689 | 0 | 2 | |a Korrelation |0 (DE-588)4165343-9 |D s |
| 689 | 0 | |5 DE-604 | |
| 856 | 4 | 2 | |m Digitalisierung UB Regensburg |q application/pdf |u 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 |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-017131863 | |
Record in the Search Index
| _version_ | 1824392732834004992 |
|---|---|
| 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 |
| any_adam_object | 1 |
| author | Engle, Robert F. 1942- |
| author_GND | (DE-588)128388528 |
| author_facet | Engle, Robert F. 1942- |
| author_role | aut |
| author_sort | Engle, Robert F. 1942- |
| author_variant | r f e rf rfe |
| building | Verbundindex |
| bvnumber | BV035327391 |
| callnumber-first | H - Social Science |
| callnumber-label | HG106 |
| callnumber-raw | HG106 |
| callnumber-search | HG106 |
| callnumber-sort | HG 3106 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 620 QK 660 QP 720 |
| ctrlnum | (OCoLC)269434476 (DE-599)HBZHT015590157 |
| dewey-full | 332.678 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.678 |
| dewey-search | 332.678 |
| dewey-sort | 3332.678 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 c 4500</leader><controlfield tag="001">BV035327391</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20101028</controlfield><controlfield tag="007">t|</controlfield><controlfield tag="008">090223s2009 xx d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780691116419</subfield><subfield code="9">978-0-691-11641-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)269434476</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)HBZHT015590157</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-N2</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-1047</subfield><subfield code="a">DE-355</subfield><subfield code="a">DE-384</subfield><subfield code="a">DE-20</subfield><subfield code="a">DE-29T</subfield><subfield code="a">DE-11</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG106</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.678</subfield><subfield code="2">22</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 620</subfield><subfield code="0">(DE-625)141668:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 720</subfield><subfield code="0">(DE-625)141929:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Engle, Robert F.</subfield><subfield code="d">1942-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)128388528</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Anticipating correlations</subfield><subfield code="b">a new paradigm for risk management</subfield><subfield code="c">Robert Engle</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Princeton, NJ [u.a.]</subfield><subfield code="b">Princeton Univ. Press</subfield><subfield code="c">2009</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">VI, 154 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturverz. S. [141] - 149</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Correlatieanalyse</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Corrélation (Statistique)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finances - Modèles économétriques</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Gestion du risque - Modèles mathématiques</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Prévision économique - Modèles mathématiques</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Risicobeheersing</subfield><subfield code="2">gtt</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Mathematisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Ökonometrisches Modell</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Correlation (Statistics)</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Economic forecasting</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Finance</subfield><subfield code="x">Econometric models</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Risk management</subfield><subfield code="x">Mathematical models</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Korrelation</subfield><subfield code="0">(DE-588)4165343-9</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kreditmarkt</subfield><subfield code="0">(DE-588)4073788-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Kreditmarkt</subfield><subfield code="0">(DE-588)4073788-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Risikomanagement</subfield><subfield code="0">(DE-588)4121590-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Korrelation</subfield><subfield code="0">(DE-588)4165343-9</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Regensburg</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-017131863</subfield></datafield></record></collection> |
| id | DE-604.BV035327391 |
| illustrated | Illustrated |
| indexdate | 2025-02-18T11:01:32Z |
| institution | BVB |
| isbn | 9780691116419 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-017131863 |
| oclc_num | 269434476 |
| open_access_boolean | |
| owner | DE-N2 DE-945 DE-1047 DE-355 DE-BY-UBR DE-384 DE-20 DE-29T DE-11 |
| owner_facet | DE-N2 DE-945 DE-1047 DE-355 DE-BY-UBR DE-384 DE-20 DE-29T DE-11 |
| 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 Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 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 Kreditmarkt (DE-588)4073788-3 gnd Risikomanagement (DE-588)4121590-4 gnd |
| subject_GND | (DE-588)4165343-9 (DE-588)4073788-3 (DE-588)4121590-4 |
| 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 Kreditmarkt (DE-588)4073788-3 gnd Risikomanagement (DE-588)4121590-4 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 Kreditmarkt Risikomanagement |
| url | 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 |
| work_keys_str_mv | AT englerobertf anticipatingcorrelationsanewparadigmforriskmanagement |