Anticipating Correlations

Author : Robert Engle

Hardback

Published : Sunday 8 February 2009

ISBN : 9780691116419

Price : €67.86

Description

Introduces an important method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). This title 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.

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