Anticipating Correlations: A New Paradigm for Risk Management

By Robert F. Engle. 2009

265 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/72fe5a9f6acc9cc7e46219dc674018250f9ae705

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Citations in the corpus

Modeling exchange rate dependence dynamics at different time horizons (2010, methodology): “model introduced by Engle and Kroner (1995). We model the conditional mean of each return series using the same AR specification as in the marginal”
Large Dynamic Covariance Matrices (2019, unknown): “(11.7) of Engle (2009).”
Dynamic linkages among oil price, gold price, exchange rate, and stock market in India (2016, methodology): “…ϵi t, , is further standardised with respect to its standard deviation, σi t, as follows: σ = ϵ ( ) s 4i t t t , The DCC process is then defined (Engle, 2009) by Qt as: ( )α β= ̅+ ′ − ̅ + ( − ̅) ( )− − −Q R s s R Q R 5t t t t1 1 1 { } { }̅ = ( )− −R diag Q Q diag Q 6t t t 1 2 1 2 The…”
MGARCH models: Trade-off between feasibility and flexibility (2018, methodology): “In this paper, we survey the main developments of parametric MGARCH models, updating previous surveys by Bauwens et al. (2006), Engle (2009) and Silvennoinen and Teräsvirta (2009a).”
Modelling the Stochastic Correlation (2016, background): “According to [8], the price of a stock reflects the expectation of future performance of the firm.”
GARCH Models (2010, unknown): “These references, and those given in the text, can be complemented by the recent surveys by Bauwens, Laurent and Rombouts (2006) and Silvennoinen and Teräsvirta (2008), and by the book by Engle (2009).”
The intertemporal capital asset pricing model with dynamic conditional correlations (2010, methodology): “…work on time-varying covariances in large dimensions was carried out by Bollerslev (1990) in his constant correlation model, where the volatilities of each asset were allowed to vary through time but the correlations were time invariant (see Tse (2000) and Engle (2009a) for a review of this topic).”
QML ESTIMATION OF A CLASS OF MULTIVARIATE ASYMMETRIC GARCH MODELS (2011, methodology): “See the recent textbook by Engle (2009) for a detailed analysis of DCC models.”
Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “Also here, a huge, mainly econometric literature exists; interesting texts are Engle (2009) and Christian Gourieroux (2001).”