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Journal of Economic Literature - Book Review

JEL Volume. 49, Issue 1 | leftPrevious Review Next Review right

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Book(s) Reviewed

Anticipating Correlations: A New Paradigm for Risk Management by Robert Engle

Published By: Princeton and Oxford: Princeton University Press
ISBN: 978-0-691-11641-9
Date of Publication: 2009


Book Review Detail

Reviewed by: Jules H. van Binsbergen of Northwestern University, Stanford University, and NBER
Review DOI: 10.1257/jel.49.1.129.r8
Review Pages: 150

Book Review Abstract

Jules H. van Binsbergen of Northwestern University, Stanford University, and NBER reviews "Anticipating Correlations: A New Paradigm for Risk Management" by Robert Engle. The EconLit Abstract of the reviewed work begins, “Presents a collection of new methods for estimating and forecasting correlations for large systems of assets. Discusses correlation economics; correlations in theory; models for correlation; dynamic conditional correlation; dynamic conditional correlation performance; the MacGyver method; generalize....”


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Book Review Authors

Jules H. van Binsbergen of Northwestern University, Stanford University, and NBER


JEL Classifications

G17: Financial Forecasting and Simulation


Journal of Economic Literature


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