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
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Autorenporträt
Robert Engle