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| Àâòîðèçàöèÿ |
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| Ïîèñê ïî óêàçàòåëÿì |
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| Alexander C. — Market Models: A Guide to Financial Data Analysis |
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| Ïðåäìåòíûé óêàçàòåëü |
A-GARCH, academic research 69
A-GARCH, conditional variance 70 80
A-GARCH, leverage coefficient 80
A-GARCH, leverage effect 68—69 79
A-GARCH, steady-state variance 99
A-GARCH, volatility estimates 80—81
A-GARCH, volatility forecasts 81 99
AEX 85 89 217 363 364
Algorithms, BHHH algorithm 80 95
Algorithms, chaotic dynamics 403—405
Algorithms, DFP algorithm 95
Algorithms, gradient algorithm 96
Algorithms, nearest neighbour algorithms 404—405
Algorithms, parameter estimation 92—95
Algorithms, quasi-Newton variable 95
Alpha, capital asset pricing model (CAPM) 231 238
Alpha, high frequency data 83
Alpha, I-GARCH 77 78
Alpha, single outliers 96
Alpha, symmetric GARCH 73
Annualized volatility, definition 5
AORD 87 89
Arbitrage pricing theory (APT), multi-factor models 181 233 247
Arbitrage pricing theory (APT), risk factors 233
ARCH, conditional variance 71 83
ARCH, high frequency data 82 393
ARCH, volatility clustering 386
Asian call 104 105
Asian crisis 90 185
Asset management, country indices 186
Asset management, risk 236
Asymmetric GARCH see "A-GARCH" "E-GARCH" "N-GARCH"
Asymmetric GARCH, asymmetric power GARCH 81
Asymmetric GARCH, conditional variance 79
Asymmetric GARCH, equity markets 31
Asymmetric GARCH, multivariate GARCH 114
Asymmetric GARCH, volatility clustering 68 79
At the money see "ATM"
ATM options, Black — Scholes model 136 297 306—307
ATM options, call options 24 30
ATM options, gamma 44
ATM options, marked-to-market (MtM) value 135 136—137
ATM options, short-term 33
ATM options, vega 44
ATM volatility, changes 171
ATM volatility, constant 37
ATM volatility, deviations 157—159 161—162
ATM volatility, market regimes 36—38 39 43
ATM volatility, maturity 36
ATM volatility, straddles 125 386
ATM volatility, underlying price 39
ATM volatility, volatility sensitivity 167 168 169
Augmented Dickey — Fuller test (ADF) 327 328 354—356 372 373 379
Autocorrelation, Box — Pierce test 66 68 97 315 335—337 386
Autocorrelation, common autocorrelation 384—386
Autocorrelation, Durbin — Watson test 431
Autocorrelation, high frequency data 391—393
Autocorrelation, omitted variables 430—431
Autocorrelation, ordinary least squares (OLS) 431 432
Autocorrelation, over/under-differencing 431
Autocorrelation, residual analysis 429—432
Autocorrelation, squared returns 63 65—66 68 97
Autocorrelation, structural breaks 430
Autoregression, multivariate time series 340—341
Autoregression, univariate time series 329—331
Autoregressive conditional heteroscedasticity, ARCH 70—71
Autoregressive conditional heteroscedasticity, GARCH see "GARCH models"
Autoregressive conditional heteroscedasticity, volatility clustering 63 65—67 97
Autoregressive moving average (ARMA), forecasting 338—339
Autoregressive moving average (ARMA), testing down 337—338
Autoregressive moving average (ARMA), time series models 313 315 332—333 337—339
Autoregressive moving average (ARMA), unit root tests 324
Backtesting, cointegration 375—381
Backtesting, prediction 444—445
Backtesting, VaR (value-at-risk) models 125 250 275—277
BARRA Growth and Value Indexes 234
Basel Accord (1988), Amendment (1996) 38 201 249 251 252 275—276 279
Basel Accord (1988), Basel 2 249 255
Basel Accord (1988), Basel Committee on Banking Supervision 249 255
Basel Accord (1988), credit risk capital requirement (CRR) 252 255
Basel Accord (1988), G10 251 252
Basel Accord (1988), market risk capital requirement (MRR) 251 252 255 276 279
Basel Accord (1988), solvency ratio 251 252
Bayesian methods, Bayes' rule 240—242
Bayesian methods, estimation 242—245
Bayesian methods, factor sensitivities 239—246
BEKK model, convergence 217
BEKK model, correlation estimates 109 110
BEKK model, diagonal BEKK 114
BEKK model, parameter estimates 220
BEKK model, scalar BEKK 114
Benchmark downside risk 258—259
Benchmark regression 144
Benchmark tracking models 172
Benchmark volatility forecasts 118
Beta, capital asset pricing model (CAPM) 231 238
Beta, high frequency data 83
Beta, single outliers 96
Beta, time-varying correlation 109 238
Beta, VaR (value-at-risk) models 109
Beta, weighted average 109
BHHH algorithm 80 95
Binomial trees 34 38 43 98
Bivariate GARCH, academic research 111
Bivariate GARCH, calibration 111
Bivariate GARCH, conditional correlation 108
Bivariate GARCH, conditional mean 108
Bivariate GARCH, conditional variance 108
Bivariate GARCH, convergence 108 109
Bivariate GARCH, correlation estimates 109 110 205
Bivariate GARCH, covariance 110
Bivariate GARCH, parameterization 108 111
Bivariate GARCH, time-varying correlation 16
Bivariate GARCH, time-varying hedge ratios 64 111
Black Monday 52—53 57 85 185
Black — Scholes model, assumptions 21 26 30 34 61 104
Black — Scholes model, ATM options 136 297 306—307
Black — Scholes model, constant volatility 21 24 26 30 34 61
Black — Scholes model, delta 32 44
Black — Scholes model, gamma 32
Black — Scholes model, geometric Brownian motion (GBM) 10 21 30
Black — Scholes model, implied volatility 12 22 23—26 33 34 106
Black — Scholes model, ITM 136 297 306 309
Black — Scholes model, moneyness 23 24 25 44
Black — Scholes model, option pricing 1 10 21 104 106 305—306
Black — Scholes model, OTM 136 297 306 309
Black — Scholes model, process volatility 11 23
Black — Scholes model, quanto correlation 46
Black — Scholes model, risk-free rate of return 21 23
Black — Scholes model, risk-neutrality hypothesis 32
Black — Scholes model, spread options 367
Black — Scholes model, strike 23 24 26 30
Black — Scholes model, vega 32 44
Black — Scholes model, Wiener process 21
Black — Scholes volatility, meaning 10
Box — Pierce test, autocorrelation 66 68 97 315 335—337 386
Breush — Pagan test 433
Butterflies 118
CAC index 71 72 76 85 89 111 117 129 174 202 217 239 363 364
Call options, Asian call 104 105
Call options, ATM options 24 30
Call options, average price 104
Call options, Black — Scholes model 24
Call options, implied volatility 26—28
Call options, ITM 24 26 28 30 31
Call options, OTM 24 30
Call options, rising markets 27
Call options, volatility term structures 31 32
Capital allocation, efficient frontier 190
Capital allocation, risk-adjusted performance measures (RAPM) 193—194
| Capital allocation, risk-adjusted returns 186 187
Capital asset pricing model (CAPM), beta 231 238
Capital asset pricing model (CAPM), covariance matrices 115 238
Capital asset pricing model (CAPM), decomposing risk 230—232
Capital asset pricing model (CAPM), market sensitivity 109
Capital asset pricing model (CAPM), ordinary least squares (OLS) 111
Capital asset pricing model (CAPM), risk factors 232
Capital asset pricing model (CAPM), Sharpe — Lintner version 230
Cash-flow maps, covariance VaR models 263—265
Cash-flow maps, factor models 262
Cash-flow maps, risk measurement 256
Chaotic dynamics, academic research 404
Chaotic dynamics, algorithms 403—404
Chaotic dynamics, Lyapunov exponents 403 404
Chaotic dynamics, multivariate embedding models 405—407
Chaotic dynamics, nearest neighbour algorithms 404—405
Chaotic dynamics, price prediction models 401—407
Chaotic dynamics, testing for chaos 401—404
Chaotic dynamics, time-delay embedding 402
Cholesky decomposition 182 183—184
Co-dependency, copulas 8
Co-dependency, correlation 7 8
Co-monotonic dependency 8
Coherent risk measures 259
Cointegration, causality 361—366
Cointegration, commodity markets 367
Cointegration, common features 381—387
Cointegration, common trends 350—353
Cointegration, correlation 349—350
Cointegration, currency markets 366
Cointegration, Engle — Granger methodology 353 354—357 360—361 368
Cointegration, equity markets 368—369
Cointegration, error correction model (ECM) 347 355 362—366
Cointegration, financial markets 347 366—369
Cointegration, futures 367
Cointegration, introduction 348—353
Cointegration, investment analysis 369—381
Cointegration, Johansen methodology 357 361 363 368
Cointegration, long-run equilibria 350—353
Cointegration, long-short strategies 374—376
Cointegration, market integration 368—369
Cointegration, meaning 347—338
Cointegration, spread options 367
Cointegration, stock selection/allocation 369—371
Cointegration, term structures 368
Cointegration, testing 353—361
Cointegration, tracking models 372
Collinearity, multicollinearity 144 172—174 436—437
Collinearity, principal component analysis (PCA) 143 144 171
Combined forecasts 118 129—134
Commodity markets, cointegration 367
Commodity markets, correlation estimates 15 56
Commodity markets, futures 55 60
Commodity markets, GARCH parameters 77 85
Commodity markets, mean-reversion 75
Commodity markets, spot-future correlations 55
Commodity markets, time-varying futures hedge 111
Commodity markets, volatility clustering 65
Components GARCH 78—79
Conditional correlation see also "Time-varying correlation"
Conditional correlation, bivariate GARCH 108
Conditional correlation, orthogonal GARCH 211
Conditional correlation, unstable estimates 16—17
Conditional covariance, capital asset pricing model (CAPM) 238
Conditional covariance, parameters 114
Conditional covariance, principal component analysis (PCA) 162—163
Conditional distribution 12 13
Conditional heteroscedasticity see "GARCH models"
Conditional mean, bivariate GARCH 108
Conditional mean, GARCH models 69—70 100
Conditional mean, high frequency data 82
Conditional mean, leptokurtic distribution 82
Conditional mean, models 12 13 14
Conditional mean, multivariate GARCH 111
Conditional variance, ARCH 71 83
Conditional variance, asymmetric response 79
Conditional variance, bivariate GARCH 108
Conditional variance, constant volatility 13
Conditional variance, covariance matrices 114
Conditional variance, GARCH models 70 72 73 78 79 80 83—84 97 98 109
Conditional variance, linear regression models 64
Conditional variance, time-varying volatility models 13
Conditional volatility, GARCH models 81 96—97
Conditional volatility, time-varying volatility models 12 14
Confidence intervals for variance 126
Confidence intervals for volatility 118 119 126—134
Confidence intervals, combined forecasts 129—134
Confidence intervals, GARCH models 128—129
Confidence intervals, Granger — Ramanarthan procedure 118 129
Confidence intervals, interval predictions 133—134
Confidence intervals, meaning 421—424
Confidence intervals, moving averages 126—128
Confidence intervals, prediction 444
Confidence intervals, realized volatility 133
Constant absolute risk aversion (CARA) 196
Constant correlation, estimates 108
Constant correlation, models 14—17
Constant relative risk aversion (CRRA) 196 197
Constant volatility, ATM volatility 37
Constant volatility, Black — Scholes model 21 24 26 30 34 61
Constant volatility, geometric Brownian motion (GBM) 117
Constant volatility, historic volatility 120
Constant volatility, implied volatility 22
Constant volatility, likelihood functions 122
Constant volatility, models 12 13 18 21 22
Constant volatility, square root of time rule 61
Constant volatility, unconditional volatility 12
Constant volatility, underlying asset price process 22
Constant volatility, volatility term structures 61 99
Convergence, BEKK model 217
Convergence, bivariate GARCH 108 109
Convergence, multivariate GARCH 109 115
Convergence, orthogonal GARCH 217
Convergence, univariate GARCH 73 75 84 96 97—98 108 109
Convergence, volatility term structures 12 75 76 97—98 102—103
Copulas, co-dependency 8
Copulas, financial risk management 9
Copulas, multivariate distributions 8
Correlation estimates 11 15—16 18 19 50
Correlation estimates, artefact of method 56
Correlation estimates, BEKK model 109 110
Correlation estimates, bivariate GARCH 109 110 205
Correlation estimates, conditional correlation 16—17
Correlation estimates, constant correlation 108
Correlation estimates, cross market 15—16
Correlation estimates, multivariate GARCH 205
Correlation estimates, orthogonal GARCH 109 110
Correlation estimates, time-varying 15 107
Correlation forecasts, uncertainty 137—138
Correlation forecasts, underlying correlation 117
Correlation matrices, eigenvalues 149 152 153 154 159
Correlation matrices, eigenvectors 149 152 153 154 159
Correlation matrices, simple cash portfolios 262
Correlation matrices, time-varying 115
Correlation risk, hedging 138
Correlation term structures, GARCH models 109
Correlation, apparent stability 16
Correlation, basic concept 3—4
Correlation, co-dependency 7 8
Correlation, co-movements 5 6
Correlation, conditional 16—17
Correlation, cross-market 15—16 18
Correlation, exponentially weighted moving average (EWMA) 55 76 111
Correlation, financial markets 8 10 11 12 111
Correlation, GARCH constant 115
Correlation, implied 45
Correlation, joint density 5 15
Correlation, long-term 57
Correlation, ordinary least squares (OLS) 7
Correlation, orthogonality 7
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