Anticipating Correlations: A New Paradigm for Risk Management

Anticipating Correlations: A New Paradigm for Risk Management

Anticipating Correlations: A New Paradigm for Risk Management

Anticipating Correlations: A New Paradigm for Risk Management

Excerpt

The Econometric Institute Lecture Series deals with topics in econometrics that have important policy implications. The lectures cover a wide range of topics and are not confined to any one area or subdiscipline. Leading international scientists in the fields of econometrics in which applications play a major role are invited to give three-day lectures on a topic to which they have contributed significantly.

The topic of Robert Engle's lectures deals with the dynamics of correlations between a large number of financial assets. In the present global financial world it is imperative both for asset management and for risk analysis to gain a better understanding of the changing correlations between a large number of assets and even between different financial markets. In Robert Engle's book several innovative models are proposed and tested with respect to their forecasting performance in the turbulent economic world of 2007.

As editors of the series we are indebted to the Erasmus University Trust Fund, the Erasmus Research Institute of Management, and the Tinbergen Institute for continued support for the series.

Philip Hans Franses and Herman K. van Dijk Econometric Institute Erasmus School of Economics . . .

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