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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.
- Sales Rank: #180185 in Books
- Published on: 2009-02-08
- Original language: English
- Number of items: 1
- Dimensions: 9.30" h x .80" w x 6.20" l, .90 pounds
- Binding: Hardcover
- 176 pages
Review
"No doubt much more literature will develop in this area. Professor Engle has done a service by laying out how his mind is moving and thinking at the current time."--Peter Tompkins, The Actuary
From the Back Cover
"This book offers a comprehensive and thorough discussion of the Dynamic Conditional Correlation class of models. It presents things in an easy-to-read, coherent, and unified framework, and includes new and interesting empirical findings and economic insights. Anticipating Correlations should serve as the authoritative reference for this important class of models."--Tim Bollerslev, Duke University
"This is a timely volume about how to model the conditional correlations among asset returns. Engle has pioneered much of the field and the book is likely to be popular."--Neil Shephard, University of Oxford
About the Author
Robert Engle is the Michael Armellino Professor in the Management of Financial Services at New York University's Leonard N. Stern School of Business. His books include "Cointegration, Causality, and Forecasting". He was awarded the 2003 Nobel Prize in economics.
Most helpful customer reviews
6 of 6 people found the following review helpful.
all 4 customer reviews seem to refer to another book ...
By L. donsor
all 4 customer reviews seem to refer to another book..... they refer to a book on india but i see the book listed as robert engel "anticipating correlations"... amazon glitch??
8 of 13 people found the following review helpful.
Great Foucauldian discussion of science and state in India
By Dave Carroll
This book is a better example of the use of Foucauldian analysis in a non-Euro/American setting. Prakash's discussion of how the colonial state used science to legitimate its rule, and how the nationalist anticolonial elites redefined and reinscribed science to legitimate their own goals is very thorough. He applies Foucault's notion of "governmentality" to demonstrate how science operated to control and maintain the populace. Highly recommended.
7 of 12 people found the following review helpful.
Not Science but more...
By A Customer
This not about science as such, but about the idea of science. This is one of best recent academic books that I have read on modern India. Using science as a window into the culture of modern India, or Indian modernity, Prakash provides a captivating account of how areas ranging from museums to religion to politics were refashioned. The book is also very elegant, starting with the cool cover, the well chosen chapter epigraphs, and chapter titles. You will come away with a very thoughtful, nuanced understanding of how the idea of science entered the constitution of colonial India. One last thing, though Prakash's approach is what would be called "postcolonial," it is solidly grounded in Indian materials while being very stylish. A real treat!
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