内容

目次

Introduction vii Chapter 1: Correlation Economics 1 1.1Introduction 1 1.2 How Big Are Correlations? 3 1.3 The Economics ofCorrelations 6 1.4 An Economic Model of Correlations 9 1.5 AdditionalInfluences on Correlations 13 Chapter 2: Correlations in Theory 15 2.1Conditional Correlations 15 2.2 Copulas 17 2.3 Dependence Measures 21 2.4On the Value of Accurate Correlations 25 Chapter 3: Models forCorrelation 29 3.1 The Moving Average and the Exponential Smoother 30 3.2Vector GARCH 32 3.3 Matrix Formulations and Results for Vector GARCH 33 3.4Constant Conditional Correlation 37 3.5 Orthogonal GARCH 37 3.6 DynamicConditional Correlation 39 3.7 Alternative Approaches and Expanded Data Sets41 Chapter 4: Dynamic Conditional Correlation 43 4.1 DE-GARCHING 434.2 Estimating the Quasi-Correlations 45 4.3 Rescaling in DCC 48 4.4Estimation of the DCC Model 55 Chapter 5: DCC Performance 59 5.1 MonteCarlo Performance of DCC 59 5.2 Empirical Performance 61 Chapter 6: TheMacGyver Method 74 Chapter 7: Generalized DCC Models 80 7.1 TheoreticalSpecification 80 7.2 Estimating Correlations for Global Stock and BondReturns 83 Chapter 8: FACTOR DCC 88 8.1 Formulation of Factor Versionsof DCC 88 8.2 Estimation of Factor Models 93 Chapter 9: AnticipatingCorrelations 103 9.1 Forecasting 103 9.2 Long-Run Forecasting 108 9.3Hedging Performance In-Sample 111 9.4 Out-of-Sample Hedging 112 9.5Forecasting Risk in the Summer of 2007 117 Chapter 10: Credit Risk andCorrelations 122 Chapter 11: Econometric Analysis of the DCC Model 130 11.1Variance Targeting 130 11.2 Correlation Targeting 131 11.3 AsymptoticDistribution of DCC 134 Chapter 12: Conclusions 137 References 141Index 151