Nobel Prize in Economics
Prix Nobel en Economie

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Sommaire : Introduction
Chapter 1: Correlation Economics
1.1 Introduction
1.2 How Big Are Correlations?
1.3 The Economics of Correlations
1.4 An Economic Model of Correlations
1.5 Additional Influences on Correlations

Chapter 2: Correlations in Theory
2.1 Conditional Correlations
2.2 Copulas
2.3 Dependence Measures
2.4 On the Value of Accurate Correlations

Chapter 3: Models for Correlation
3.1 The Moving Average and the Exponential Smoother
3.2 Vector GARCH
3.3 Matrix Formulations and Results for Vector GARCH
3.4 Constant Conditional Correlation
3.5 Orthogonal GARCH
3.6 Dynamic Conditional Correlation
3.7 Alternative Approaches and Expanded Data Sets

Chapter 4: Dynamic Conditional Correlation
4.1 DE-GARCHING
4.2 Estimating the Quasi-Correlations
4.3 Rescaling in DCC
4.4 Estimation of the DCC Model

Chapter 5: DCC Performance
5.1 Monte Carlo Performance of DCC
5.2 Empirical Performance

Chapter 6: The MacGyver Method

Chapter 7: Generalized DCC Models
7.1 Theoretical Specification
7.2 Estimating Correlations for Global Stock and Bond Returns


Chapter 8: FACTOR DCC
8.1 Formulation of Factor Versions of DCC
8.2 Estimation of Factor Models


Chapter 9: Anticipating Correlations
9.1 Forecasting
9.2 Long-Run Forecasting
9.3 Hedging Performance In-Sample
9.4 Out-of-Sample Hedging
9.5 Forecasting Risk in the Summer of 2007

Chapter 10: Credit Risk and Correlations

Chapter 11: Econometric Analysis of the DCC Model
11.1 Variance Targeting
11.2 Correlation Targeting
11.3 Asymptotic Distribution of DCC

Chapter 12: Conclusions
References
Index

Langue : Anglais

Localisation : Bibliothèque Campus de Nice

Support : Numérique

Etat : Présent

Propriétaire : Bibliothèque