|
|
 |
| Àâòîðèçàöèÿ |
|
|
|
| Ïîèñê ïî óêàçàòåëÿì |
|
|
|
|
|
|
|
 |
|
|
|
| Alexander C. — Market Models: A Guide to Financial Data Analysis |
|
|
|
| Ïðåäìåòíûé óêàçàòåëü |
Correlation, portfolio diversification 186—187
Correlation, positive/negative 6 8
Correlation, principal component analysis (PCA) 143
Correlation, quanto correlation 46—47
Correlation, scatter plots 8
Correlation, statistical nature 5—9
Correlation, time horizons 18
Correlogam 333—335
Counter-monotonic dependency 8
Covariance forecasts 50 109
Covariance matrices, applications 180—201
Covariance matrices, capital asset pricing model (CAPM) 115 238
Covariance matrices, Cholesky decomposition 182 183—184
Covariance matrices, diagonal 141 144 146 206
Covariance matrices, exponentially weighted moving average (EWMA) 180 184 204 206—210
Covariance matrices, large dimensions 108 112
Covariance matrices, linear portfolios 180—182
Covariance matrices, meaning 179
Covariance matrices, minimum variance portfolios 187—192
Covariance matrices, orthogonality 144 180 204—227
Covariance matrices, portfolio risk 179
Covariance matrices, positive semi-definiteness 116 179 180 181 206 211
Covariance matrices, RiskMetrics data 201—204
Covariance matrices, simplifying assumptions 179
Covariance matrices, splicing methods 220—221 227
Covariance matrices, stress testing 184—185
Covariance matrices, time-varying 114—116
Covariance VaR models, advantages/limitations 266—267
Covariance VaR models, aggregation 266
Covariance VaR models, assumptions 260—261
Covariance VaR models, cash-flow maps 263—265
Covariance VaR models, factor models 262—263
Covariance VaR models, fat tails 285
Covariance VaR models, normal mixture distributions 302—303
Covariance VaR models, RiskMetrics data 260
Covariance VaR models, simple cash portfolios 261—262
Covariance, capital asset pricing model (CAPM) 109
Covariance, co-movements 6—7
Covariance, stationary 14—15
Covariance, VaR (value-at-risk) models 237 250
Credit risk capital requirement (CRR) 252 255
Crude oil, futures 55 60 153 154 212 213
Crude oil, GARCH parameters 77 85
Currency markets, cointegration 366
Currency markets, components GARCH 79
Currency markets, conditional correlation 16 17
Currency markets, conditional volatility 97
Currency markets, convergence 102
Currency markets, correlation estimates 16 17
Currency markets, DEM 102 129—132 349
Currency markets, excess kurtosis 82 301
Currency markets, exchange rates, random walk 75
Currency markets, GBP 16 17 102 132—133
Currency markets, high frequency data 97
Currency markets, I-GARCH 76
Currency markets, implied correlation 45—47
Currency markets, JPY 16 17 102 129—132
Currency markets, market events 102
Currency markets, mean-reverting volatility 75
Currency markets, NLG 349
Currency markets, parameter estimates 101—102
Currency markets, quanto correlation 46—47
Currency markets, symmetric smiles 30
Currency markets, time-varying correlation 15
Currency markets, USD 16 17 101—102 129—133
Currency markets, volatility clustering 65 97
Currency markets, volatility term structures 102
Data problems see also "Missing data"
Data problems, data errors 437—439
Data problems, dummy variables 440—442
Data problems, multicollinearity 144 172—174 436—437
Data problems, principal component analysis (PCA) 18 144 171—178
DAX 30 85 89 155 217 297 363 364
Delta, Black — Scholes 32 44
Delta, calculation 44 105
Delta, chain rule 44
Delta, constant absolute risk aversion (CARA) 196
Delta, delta-gamma approximations 273—274
Delta, finite difference approximations 105
Delta, hedging 43—45 119 138 139
Delta, neutrality 43 44
Delta, price sensitivity 34 43
Delta, property 196
Delta, sticky delta 35 37
Density, non-normal density function 451—452
Density, normal density function 449—450
Density, price/volatility 41 42 43
Derivatives portfolios, correlated risk factor movements 182—183
Derivatives portfolios, Monte Carlo simulation 182
DFP algorithm 95
Dickey — Fuller (DF) test 325—328
dispersion 4 119
Dow Jones 30 231
Durbin — Hausmann test 328
Durbin — Watson test 431
Dynamic hedging 138—10
E-GARCH 79—80
Efficient frontier, capital allocation 190
Efficient frontier, frontier analysis 186 191
Efficient frontier, mean-variance analysis 201
Efficient frontier, minimum variance portfolios 191
Efficient frontier, optimal portfolios 199 200
Efficient frontier, risk aversion 197
Eigenvalues and Eigenvectors, negative values 184
Eigenvalues and Eigenvectors, orthogonal GARCH 215 217
Eigenvalues and Eigenvectors, principal component analysis (PCA) 145 146 147 149 152 153 154 159
Energy markets, crude oil 55 60 77 85 153 154 212 213
Energy markets, historic correlation 54—57
Energy markets, natural gas futures 54 55 111 326
Engle — Granger methodology 353 354—357 360—361 368
Equity markets, asymmetric distribution 31
Equity markets, Australia 90 91
Equity markets, Brazil 90
Equity markets, cointegration 368—369
Equity markets, convergence 102
Equity markets, economic doom and gloom 31
Equity markets, Hong Kong 90
Equity markets, I-GARCH 76
Equity markets, implied correlation 45—47
Equity markets, index returns, beta 181
Equity markets, jumpy markets 35 36 37—38 44
Equity markets, large price fall 31 99
Equity markets, leverage effect 31 68—69 79
Equity markets, quanto correlation 46—47
Equity markets, range-bounded markets 36 44
Equity markets, Singapore 90
Equity markets, skew 30—31 155
Equity markets, South Africa 90 91
Equity markets, Taiwan 90 91
Equity markets, time-varying correlation 15
Equity markets, trending markets 36 37 44
Equity markets, USA see "United States"
Equity markets, volatility clustering 65
Equity markets, volatility regimes 34—38
Equity markets, volatility term structures 101—103
Error correction model (ECM), cointegration 347 355 362—366
Error correction model (ECM), price discovery 367
Error correction model (ECM), spread options 367
Error, data errors 437—439
Error, error distributions 82
Error, forecast error 123
Error, GARCH error coefficients 73
Error, mean absolute error 445
Error, mean square error 445
Error, RMSE see "Root mean square error"
Error, samples see "Sampling error"
Estima 80
Eviews 84
Excess kurtosis, currency markets 82 301
Excess kurtosis, intra-day returns 285
| Excess kurtosis, non-normal returns 286—287 309—311
Excess kurtosis, non-normal symmetric GARCH 73
Excess kurtosis, normal GARCH models 82
Excess kurtosis, option pricing 306
Excess kurtosis, single outliers 67
Excess kurtosis, volatility clustering 66 67
Exponential GARCH see "E-GARCH"
Exponentially weighted moving average (EWMA), accuracy 119
Exponentially weighted moving average (EWMA), beta 111 167 239
Exponentially weighted moving average (EWMA), combined forecasts 129—132
Exponentially weighted moving average (EWMA), correlation 55 76 111
Exponentially weighted moving average (EWMA), covariance matrices 180 184 204 206—210
Exponentially weighted moving average (EWMA), efficient frontier 187
Exponentially weighted moving average (EWMA), historic correlation 55 76
Exponentially weighted moving average (EWMA), I-GARCH 60 76 111
Exponentially weighted moving average (EWMA), limitations 111
Exponentially weighted moving average (EWMA), look-back periods 58
Exponentially weighted moving average (EWMA), orthogonality 204 206—210 212—214
Exponentially weighted moving average (EWMA), persistence 59 207
Exponentially weighted moving average (EWMA), positive semi-definiteness 184
Exponentially weighted moving average (EWMA), reaction 59 207
Exponentially weighted moving average (EWMA), RiskMetrics data 60 115 163 179 202 203
Exponentially weighted moving average (EWMA), sampling error 111
Exponentially weighted moving average (EWMA), smoothing constant 115 117 163 202 203 204 217
Exponentially weighted moving average (EWMA), squared returns 57—58 207
Exponentially weighted moving average (EWMA), statistical volatility 125
Exponentially weighted moving average (EWMA), variance estimates 127 163
Exponentially weighted moving average (EWMA), volatility estimates 57—58 60
Exponentially weighted moving average (EWMA), volatility forecasts 60 119
Factor GARCH models, volatility 115
Factor models see also "Multi-factor models"
Factor models, Bayesian estimation 242—245
Factor models, CAPM see "Capital asset pricing model"
Factor models, cash-flow maps 262
Factor models, covariance VaR models 262—263
Factor models, decomposing risk 230—236
Factor models, factor sensitivities 229 239—246
Factor models, instrumental variables 247
Factor models, linear portfolios 181 187 229
Factor models, linear regression 172
Factor models, portfolio risk 237
Factor models, risk factors 229
Factor models, risk measurement 229—248
Factor models, sources of risk 232
Factor models, specification procedures 246—248
Factor models, statistical 235—236
Factor models, tracking models 229
Fat tails see also "Leptokurtic distributions"
Fat tails, covariance VaR models 285
Fat tails, financial data 82
Fat tails, GARCH models 125
Fat tails, QQ plots 288—290
Fat tails, return distributions 30 82 125
Financial asset prices, random variables 4
Financial asset prices, stochastic processes 1 3
Financial asset returns, log prices 4
Financial asset returns, stochastic volatility 285
Financial markets, ARCH 71
Financial markets, autocorrelation 63
Financial markets, Black Monday 52—53 57 85 185
Financial markets, capital asset pricing model (CAPM) 230
Financial markets, cointegration 347 366—369
Financial markets, controlling risk 250—255
Financial markets, correlation 8 10 11 12 111
Financial markets, crises 250
Financial markets, deterministic trends 328 329
Financial markets, historic volatility 52—54
Financial markets, jumps 297
Financial markets, lag/persistence coefficients 73
Financial markets, return distributions 119
Financial markets, spot-future correlations 55
Financial markets, trend, testing 328—329
Financial markets, unconditional correlation 15
Financial markets, volatility 9—12 119 250 297
Financial markets, volatility clustering 17 64
Financial markets, volatility forecasts 75 120
Fixed strike volatility, dynamics 159—167
Fixed strike volatility, gamma 160 161 162
Fixed strike volatility, market regimes 159—167
Fixed strike volatility, principal component analysis (PCA) 157 158 159—167 169
Fixed strike volatility, sticky models 38
Forecasts, autoregressive moving average (ARMA) 338—339
Forecasts, hedging performance 124
Forecasts, high frequency data 389—407
Forecasts, operational criteria 124—125
Forecasts, out-of-sample tests 121
Forecasts, parameters 117
Forecasts, post-sample predictions 121 122
Forecasts, statistical criteria 121—124
Forecasts, trading systems 180
Foreign exchange see "Currency markets"
Frechet distribution 293 294
Frontier analysis see also "Efficient frontier"
Frontier analysis, short sales 186 191
Futures, cointegration 367
Futures, crude oil 55 60 153 154 212 213
Futures, implied volatility 28
Futures, natural gas 54 55 111 326
Futures, orthogonality 205
Futures, prompt futures 54 56 78 111 326
Futures, spot price, hedging 27
Futures, spot-future correlations 55
Futures, term structures 153—154
Game theory, rationality 21
Gamma, ATM options 44
Gamma, Black — Scholes model 32
Gamma, delta sensitivity, underlying price 43
Gamma, delta-gamma approximations 273—271
Gamma, finite difference approximations 105
GARCH models option hedging 1 98
GARCH models, academic research 63—65
GARCH models, aggregation 82 83
GARCH models, applications 97—98
GARCH models, assumptions 98
GARCH models, asymmetric see "A-GARCH"
GARCH models, asymmetric power GARCH 81
GARCH models, basic form 64
GARCH models, bivariate see "Bivariate GARCH"
GARCH models, choosing best 96—97
GARCH models, combined forecasts 129—133
GARCH models, components GARCH 78—79
GARCH models, conditional mean 69—70 100
GARCH models, conditional variance 70 72 73 79 97 98 109
GARCH models, conditional volatility 81 96—97
GARCH models, confidence intervals 128—129
GARCH models, constant (omega) 91
GARCH models, constant correlation 115
GARCH models, convergence 73 75 84 96 97—98
GARCH models, correlation term structures 109
GARCH models, covariance matrices see "Covariance matrices"
GARCH models, data examination 67
GARCH models, diffusion limits 98
GARCH models, error coefficient 73
GARCH models, estimation problems 96
GARCH models, exponential GARCH (E-GARCH) 79—80
GARCH models, Factor GARCH 115
GARCH models, fat tails 125
GARCH models, first derivatives 95
GARCH models, forward volatilities 98
GARCH models, GJR model 81
GARCH models, gradient vectors 95
GARCH models, high frequency (HARCH) 82—84
GARCH models, implied volatility 106 118
GARCH models, integrated see "I-GARCH"
GARCH models, intra-day data 82 84
GARCH models, introduction 65—70
GARCH models, lag coefficient 73
GARCH models, Lagrange multiplier (LM) test 67 68
GARCH models, leverage effect 64 68—69 79
GARCH models, likelihood function 91
|
|
|
| Ðåêëàìà |
|
|
|
|
|
Î ïðîåêòå