Ch. 1. Correlation economics -- Ch. 2. Correlations in theory -- Ch. 3. Models for correlation -- Ch. 4. Dynamic conditional correlation -- Ch. 5. DCC performance -- Ch. 6. The MacGyver method -- Ch. 7. Generalized DCC models -- Ch. 8. FACTOR DCC -- Ch. 9. Anticipating correlations -- Ch. 10. Credit risk and correlations -- Ch. 11. Econometric analysis of the DCC model -- Ch. 12. Conclusions
Summary
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
Notes
Series from introduction
Bibliography
Includes bibliographical references (pages 141-149) and index
