A volume that celebrates and develops the work of Nobel Laureate Robert Engle, it includes original contributions from some of the world's leading econometricians that further Engle's work in time series economics
Financial markets respond to information virtually instantaneously. Each new piece of information influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation forecasts. This fast-evolving environment presents econometricians with the challenge of forecasting dynamic correlations, which are essential inputs to risk measurement, portfolio allocation, derivative pricing, and many other critical financial activities. In Anticipating Correlations, Nobel Prize-winning economist Robert Engle introduces an important new method for estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle 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. He compares DCC with other correlation estimators such as historical correlation, exponential smoothing, and multivariate GARCH, and he presents a range of important applications of DCC. Engle presents the asymmetric model and illustrates it using a multicountry equity and bond return model. He introduces the new FACTOR DCC model that blends factor models with the DCC to produce a model with the best features of both, and illustrates it using an array of U.S. large-cap equities. Engle shows how overinvestment in collateralized debt obligations, or CDOs, lies at the heart of the subprime mortgage crisis--and how the correlation models in this book could have foreseen the risks. A technical chapter of econometric results also is included. Based on the Econometric and Tinbergen Institutes Lectures, Anticipating Correlations puts powerful new forecasting tools into the hands of researchers, financial analysts, risk managers, derivative quants, and graduate students.
“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
This new volume in the Counterpoints series compares and contrasts different conceptions of working memory, generally recognized as the human cognitive system responsible for temporary storage of information. The book includes proponents of several different views. Robert Logie discusses the theoretical and empirical utility of separating working memory into an articulatory loop, a phonological store, and a visuo-spatial sketchpad into visual and spatial subsystems. Patricia Carpenter provides evidence for a process view of working memory, arguing that both task-specific processing and general processing capabilities can account for the full range of working memory phenomena. She focuses on findings from reading comprehension and memory tasks suggesting that working memory is used to represent the set of skills and strategies necessary for complex tasks, while retaining residual capacity for use as a storage buffer. Lynn Hasher argues in favor of the new inhibitory model, with evidence drawn from the literature on aging and pathology that demonstrates parallels between memory disorders and normal memory functioning. Randall Engle addresses the issue of whether working memory resources are required for retrieval of information or whether that task is relatively automatic. Engle's empirical studies, in turn, bear directly on the positions of Carpenter, Hasher, and Logie. As interest in working memory is increasing at a rapid pace, an open discussion of the central issues involved is both useful and timely. This work serves this purpose for a wide audience of cognitive psychologists and their students.
Memory is essential for every day life. The understanding and study of memory has continued to grow over the years, thanks to well controlled laboratory studies and theory development. However, major challenges arise when attempting to apply theories of memory function to practical problems in society. A theory might be robust in explaining experimental data but fail to capture all that is important when taken out of the lab. The good news is that the application of memory in science to challenges in society is rapidly expanding, and Memory in Science for Society bridges that gap. Inspired by the synergy between theory and application in memory research, leading international researchers share their passion for combining memory in science with applications of that science to a wide range of challenges in society. Chapters demonstrate how that scientific passion has addressed challenges in education, life attainment, second language learning, remembering life events and faces of strangers, future planning and decision making, lifespan cognitive development and age-related cognitive decline, following instructions, and assessment and rehabilitation of cognitive impairment following brain damage. Written and edited by the leading researchers in the field, the book will be an important and influential addition to the memory literature, providing a new and comprehensive focus on the connection between theory and practice in memory and society.
This edition from Osprey Publishing presents the full story of the American Civil War. The four long years of Civil War saw fighting across America on an unprecedented scale, incurring losses to both sides to an extent never previously imagined. As the battles raged from east to west, from the First Battle of Bull run to Sherman's march to the Sea, no part of America remained untouched by the war, with families finding themselves torn and fighting on opposing sides. More than 150 years on, the war continues to fascinate us, and the key commanders, both presidents, and battle sites are forever enshrined in America's history. With a foreword by James McPherson, this volume brings together the work of four leading US historians to provide a thoroughly comprehensive and insightful study of the war, packed with first-hand accounts from soldiers and civilians alike. Superbly illustrated with more than 150 contemporary black-and white and color images, and with 40 specially commissioned full-color maps, this edition provides an analysis of the causes, events, and effects of the Civil War.
The financial reform plans currently under discussion in the United States recognize the need for monitoring and regulating systemic risk in the financial sector. To inform those discussions, the National Research Council held a workshop on November 3, 2009, to identify the major technical challenges to building such a capability. The workshop, summarized in this volume, addressed the following key issues as they relate to systemic risk: What data and analytical tools are currently available to regulators to address this challenge? What further data-collection and data-analysis capabilities are needed? What specific resource needs are required to accomplish the task? What are the major technical challenges associated with systemic risk regulation? What are various options for building these capabilities? Because every systemic event is unique with respect to its specific pathologyâ€"the various triggers and the propagation of effectsâ€"the workshop focused on the issues listed above for systemic risk in general rather than for any specific scenario. Thus, by design, the workshop explicitly addressed neither the causes of the current crisis nor policy options for reducing risk, and it attempted to steer clear of some policy issues altogether (such as how to allocate new supervisory responsibilities). More than 40 experts representing diverse perspectives participated in the workshop.
Object-Oriented Design with Applications has long been the essential reference to object-oriented technology, which, in turn, has evolved to join the mainstream of industrial-strength software development. In this third edition--the first revision in 13 years--readers can learn to apply object-oriented methods using new paradigms such as Java, the Unified Modeling Language (UML) 2.0, and .NET. The authors draw upon their rich and varied experience to offer improved methods for object development and numerous examples that tackle the complex problems faced by software engineers, including systems architecture, data acquisition, cryptoanalysis, control systems, and Web development. They illustrate essential concepts, explain the method, and show successful applications in a variety of fields. You'll also find pragmatic advice on a host of issues, including classification, implementation strategies, and cost-effective project management. New to this new edition are An introduction to the new UML 2.0, from the notation's most fundamental and advanced elements with an emphasis on key changes New domains and contexts A greatly enhanced focus on modeling--as eagerly requested by readers--with five chapters that each delve into one phase of the overall development lifecycle. Fresh approaches to reasoning about complex systems An examination of the conceptual foundation of the widely misunderstood fundamental elements of the object model, such as abstraction, encapsulation, modularity, and hierarchy How to allocate the resources of a team of developers and mange the risks associated with developing complex software systems An appendix on object-oriented programming languages This is the seminal text for anyone who wishes to use object-oriented technology to manage the complexity inherent in many kinds of systems. Sidebars Preface Acknowledgments About the Authors Section I: Concepts Chapter 1: Complexity Chapter 2: The Object Model Chapter 3: Classes and Objects Chapter 4: Classification Section II: Method Chapter 5: Notation Chapter 6: Process Chapter 7: Pragmatics Chapter 8: System Architecture: Satellite-Based Navigation Chapter 9: Control System: Traffic Management Chapter 10: Artificial Intelligence: Cryptanalysis Chapter 11: Data Acquisition: Weather Monitoring Station Chapter 12: Web Application: Vacation Tracking System Appendix A: Object-Oriented Programming Languages Appendix B: Further Reading Notes Glossary Classified Bibliography Index
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