Anticipating Correlations - Engle, Robert
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"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…mehr

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Produktbeschreibung
"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
Autorenporträt
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.