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Anticipating correlations : a new paradigm for risk management
Engle, Robert F. - 2009
Persistent link: https://www.econbiz.de/10003733103
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Anticipating Correlations : A New Paradigm for Risk Management
Engle, Robert - 2009
influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation … estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of … their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical …
Persistent link: https://www.econbiz.de/10014488318
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Experimental economics : financial markets, auctions, and decision making ; interviews and contributions from the 20th Arne Ryde Symposium
Andersson, Fredrik (ed.); Holm, Håkan J. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001656741
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Handbuch Rating
Büschgen, Hans E. (ed.); Everling, Oliver (contributor) - 2007 - 2., aktualisierte und erw. Aufl.
Persistent link: https://www.econbiz.de/10003377464
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Two new methods for estimating structural equation models : an illustration and a comparison with two established methods
Lu, Irene R. R.; Kwan, Ernest; Thomas, D. Roland; … - In: International journal of research in marketing : IJRM ; … 28 (2011) 3, pp. 258-268
Persistent link: https://www.econbiz.de/10009376041
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Forecasting in the presence of structural breaks and model uncertainty
Rapach, David E. (contributor) - 2008
Persistent link: https://www.econbiz.de/10003731593
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - 2011
Persistent link: https://www.econbiz.de/10009716088
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Volatility models : from GARCH to multi-horizon cascades
Subbotin, Alexander; Chauveau, Thierry; Shapovalova, … - In: Financial markets and the global recession, (pp. 103-159). 2010
Persistent link: https://www.econbiz.de/10009614252
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Volatility Models : From GARCH to Multi-Horizon Cascades
Subbotin, Alexander - 2009
We overview different methods of modeling volatility of stock prices and exchange rates, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of price fluctuations vary across the time scales of observation. The adequacy of different...
Persistent link: https://www.econbiz.de/10013158884
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Integrated cost-schedule risk analysis
Hulett, David T. - 2011
Persistent link: https://www.econbiz.de/10013500211