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(Hardback)
By: Robert Engle
ISBN: 9780691116419
Readership/Audience: Tertiary Education
Publication Date: Apr 2009
Publisher: Princeton University Press
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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.
