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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 |
GARCH models, low-frequency 82 83
GARCH models, maximum likelihood 447
GARCH models, MBRM-GARCH 64
GARCH models, multivariate see "Multivariate GARCH"
GARCH models, non-linear see "N-GARCH"
GARCH models, non-normal 73 82
GARCH models, option pricing 1 98
GARCH models, orthogonal see "Orthogonal GARCH"
GARCH models, parameter estimates 85 91
GARCH models, parameter estimation algorithms 92—95
GARCH models, persistence 92
GARCH models, positive semi-definiteness 184
GARCH models, quadratic GARCH 81
GARCH models, reaction 92
GARCH models, realized volatility 11
GARCH models, RiskMetrics data 202
GARCH models, second derivatives 94
GARCH models, specification and estimation 84—98
GARCH models, stochastic processes 98 105
GARCH models, symmetric see "Symmetric GARCH"
GARCH models, t-GARCH 82
GARCH models, threshold GARCH 81
GARCH models, time-varying correlation 16—17 108—114
GARCH models, time-varying variance 70
GARCH models, time-varying volatility models 14 95 115
GARCH models, uncertainty 128
GARCH models, univariate see "Univariate GARCH"
GARCH models, vanilla 72 73 75 79 84 96
GARCH models, volatility clustering 96 97
GARCH models, volatility forecasts 91 98 99—100
GARCH models, volatility term structures 32 50 61 64 85 98—103
GAUSS programs 82 92
Gaussian white noise 316
Generalized autoregressive conditional heteroscedasticity see "GARCH models"
Generalized least squares (GLS), estimators 433—436
Generalized least squares (GLS), residual analysis 429
Generalized least squares (GLS), risk factors 237—238
Generalized least squares (GLS), systems of seemingly unrelated regression equations (SURE) 434—435
Generalized Pareto distributions (GPD), conditional VaR 260 295
Generalized Pareto distributions (GPD), extreme value distributions 290
Generalized Pareto distributions (GPD), underlying distribution 295
Geometric Brownian motion (GBM), Black — Scholes model 10 21 30
Geometric Brownian motion (GBM), constant volatility 117
Geometric Brownian motion (GBM), diffusion process 104
Geometric Brownian motion (GBM), implied volatility 10 23 28
Geometric Brownian motion (GBM), spread options 367
Geometric Brownian motion (GBM), underlying price 30
Ghost effects/features, historic correlation 55
Ghost effects/features, historic volatility 53 128
Ghost effects/features, RiskMetrics data 204
Ghost effects/features, weighted average 53 60 125
GJR model 81
Goldfeld — Quandt test 432 433
Granger causality 315—316 344—346 347
Granger representation theorem 361
Granger — Ramanathan procedure 118 129
Guidelines for Banking Supervision 280
Gulf War 55—56 76 78 85
Gumbel distribution 293 294
Hang Seng 90 91
HARCH, High Frequency ARCH 83—84
Hedging, basket options 56—57
Hedging, correlation risk 138
Hedging, delta 43—45 119 138 139
Hedging, dynamically hedged portfolios 138—140
Hedging, futures, spot price 27
Hedging, implied volatility 119 139 140
Hedging, perfect hedge 21 106
Hedging, performance 124
Hedging, proxy hedge ratio 54 111
Hedging, rebalancing 112
Hedging, standard error 139 140
Hedging, statistical hedge ratios 109
Hedging, volatility 139—140
Hessian matrix 94 95
High frequency data, alpha 83
High frequency data, ARCH 82 393
High frequency data, autocorrelation 391—393
High frequency data, beta 83
High frequency data, chaotic dynamics 401—407
High frequency data, conditional mean 82
High frequency data, data and information sources 390
High frequency data, data filters 390—391
High frequency data, data processing 397—398
High frequency data, error distributions 82
High frequency data, forecasts 389—407
High frequency data, GARCH models 82—84
High frequency data, neural networks 395—401
High frequency data, noise 17
High frequency data, parametric models 393—395
High frequency data, persistence 83
High frequency data, price prediction models 401—407
High frequency data, sampling error 17
High frequency data, square root of time rule 83
Historic correlation, basket options 56
Historic correlation, definition and application 50—52
Historic correlation, equally weighted moving averages 49 50
Historic correlation, extreme events 52 57
Historic correlation, ghost effects/features 55
Historic correlation, proxy hedge ratio 54
Historic correlation, sampling error 51
Historic correlation, use of estimates 57
Historic volatility, computation 118
Historic volatility, constant volatility 120
Historic volatility, definition and application 50—52
Historic volatility, equally weighted moving averages 49 50 52—53
Historic volatility, extreme events 52 57 85
Historic volatility, ghost effects/features 53 128
Historic volatility, volatility estimates 57 128
I-GARCH, alpha 77 78
I-GARCH, beta 77 78
I-GARCH, currency markets 76
I-GARCH, equity markets 76
I-GARCH, exponentially weighted moving average (EWMA) 60 76 111
I-GARCH, long-term volatility 90
I-GARCH, omega 77
I-GARCH, persistence 76
I-GARCH, unconditional variance 76
I-GARCH, volatility estimates 76 77
Ibovespa 89 90
Implied correlation 45—47
Implied trees 35
Implied volatility and process volatility 22
Implied volatility and underlying 11 26 28 183
Implied volatility, ATM volatility 30 34 35 279
Implied volatility, back out 26 34 106
Implied volatility, Black — Scholes model 12 22 23—26 33 34 106
Implied volatility, call options 26—28
Implied volatility, constant volatility 22
Implied volatility, features 30—34
Implied volatility, futures options 28
Implied volatility, geometric Brownian motion (GBM) 10 23 28
Implied volatility, hedging 119 139 140
Implied volatility, meaning 10 22—30
Implied volatility, option maturity 31
Implied volatility, option pricing 4 10 21—45
Implied volatility, OTM 30
Implied volatility, principal component analysis (PCA) 143
Implied volatility, put options 26—28
Implied volatility, scenario analysis 38—43 185
Implied volatility, skews 1 30—31 32 33 68 155 158
Implied volatility, smile effect 1 30 32 33 98 155
Implied volatility, statistical volatility distinguished 28—30
Implied volatility, strikes 26 27 28 30 31 32—33 155
Implied volatility, trading strategy 125
Implied volatility, volatility cones 29
Implied volatility, volatility forecasts 117—118 124—125
Implied volatility, volatility smile surface 106 154
Implied volatility, volatility surfaces 32—34
Implied volatility, volatility term structures 31—32 78
| Index tracking models, linear regression 172
Information ratio (IR) 194 445
Integration, cointegration see "Cointegration"
Integration, GARCH models see "I-GARCH"
Integration, high frequency data 400—401
Integration, time series models 320—322
International equity portfolios 181 234
Intra-day data see "High frequency data"
Investment analysis, capital allocation see "Capital allocation"
Investment analysis, cointegration 369—381
Investment analysis, covariance matrices 179 185—201
Investment analysis, global asset management 186
Investment analysis, mean-variance analysis 185—186 197 198—201
Investment analysis, optimal allocations 186
Investment analysis, quadratic programming 185
Investment analysis, trading limits 186
Investment analysis, utility functions 185 194—197
ITM (in the money), Black — Scholes model 136 297 306 309
ITM (in the money), call options 24 26 28 30 31
ITM (in the money), long-term options 33
ITM (in the money), market regimes 160
ITM (in the money), straddles 124
Jarque — Bera (JB) statistic 287
Johansen methodology 357 361 363 368
Joint density, correlation 5 15
Joint density, price/volatility 41 42 43
JP Morgan 163 179 201 202
Jumpy markets, market regimes 35 36 37—38 44 156
KCBOT, natural gas 54 55 111
Kurtosis, term structures 303—305
Lagrange multiplier (LM) 67 68 336 428 432
Leptokurtic distributions see "Fat tails"
Leverage effect, coefficient 99 100
Leverage effect, debt/equity ratios 68
Leverage effect, equity markets 31 68—69 79
Leverage effect, GARCH models 64 68—69 79
Leverage effect, skews 31 68
Likelihood functions, boundaries 96
Likelihood functions, constant volatility 122
Likelihood functions, definition 91
Likelihood functions, gradient 94
Likelihood functions, gradient algorithm 96
Likelihood functions, local optimum 96
Likelihood functions, log-likelihood 95
Likelihood functions, maximum see "Maximum likelihood"
Likelihood functions, minimum data 91
Likelihood functions, out-of-sample 121
Likelihood functions, post-sample predictive tests 122
Likelihood functions, prediction 445
Likelihood functions, second derivatives 94
Likelihood functions, time-varying variance 95
Likelihood ratio (LR) 428—429
Linear portfolios, covariance matrices 180—182
Linear portfolios, factor models 181 187 229
Linear portfolios, linear regression 172
Linear portfolios, optimization 179
Linear portfolios, risk factors 181
Linear portfolios, stress testing 185
Linear portfolios, variance 180—182 183
Linear regression models, CAPM see "Capital asset pricing model"
Linear regression models, combined forecasts 133
Linear regression models, conditional variance equation 64
Linear regression models, estimation 230
Linear regression models, explanatory variables/regressors 172 409—410
Linear regression models, homsoscedastic returns 14
Linear regression models, multivariate models 412—414
Linear regression models, ordinary least squares (OLS) 414—419
Linear regression models, simple linear model 410—412
Linear regression models, slope parameters 7
Local volatility, moneyness 37
Local volatility, sticky tree model 38
Local volatility, strikes 34—35
Local volatility, trending markets 37
Lorenz butterfly 401
Lyapunov exponent 403 404
Marked-to-market (MtM) value, adjustment for uncertain volatility 136—138
Marked-to-market (MtM) value, ATM options 135 136—137
Marked-to-market (MtM) value, long-term volatility 57
Marked-to-market (MtM) value, option portfolios 119
Marked-to-market (MtM) value, portfolio valuation 134—135
Marked-to-market (MtM) value, VaR (value-at-risk) models 135
Market events, Asian crisis 90 185
Market events, Black Monday 52—53 57 85 185
Market events, currency markets 102
Market events, equity crash (1987) 90 250
Market events, equity crash (1998) 166 169—170 171
Market events, extreme events 31 52 57 80 85 99 117 185 203 204
Market events, ghost effects see "Ghost effects/features"
Market events, Gulf War 55—56 76 78 85
Market events, intensity of reaction 102
Market events, news announcements 65—66 79
Market events, Russian debt crisis 35 251
Market price, model price 21 22
Market regimes, ATM volatility 36—38 39 43
Market regimes, fixed strike volatility 159—167
Market regimes, jumpy markets 35 36 37—38 44 156
Market regimes, range-bounded markets 36 44 117 156
Market regimes, sticky models 36—38 44
Market regimes, trending markets 36 37 44 156
Market risk capital requirements (MMR) 251 252 253 254—255 274 276 279 280
Market risk capital requirements (MMR), internal models 252—255
Market risk capital requirements (MMR), scenario analysis 253
Markets, foreign exchange see "Currency markets"
Markets, shares see "Equity markets"
Maximum likelihood see also "Likelihood functions"
Maximum likelihood, GARCH models 447
Maximum likelihood, maximum likelihood estimators (MLEs) 447 448 449—452
Maximum likelihood, methods 447—452
Maximum likelihood, non-normal density function 451—452
Maximum likelihood, normal density function 449—450
MBRM-GARCH 64
Mean-reversion, commodity markets 75
Mean-reversion, currency markets 75
Mean-reversion, time series models 317—320
Mean-reversion, univariate GARCH 111
Mean-reversion, volatility clustering 31
Mean-reversion, volatility forecasts 75 79
Mean-reversion, volatility term structures 61 98 109 111
Mean-variance analysis, asset allocation 230
Mean-variance analysis, efficient frontier 201
Mean-variance analysis, investment analysis 185—186 197 198—201
Mean-variance analysis, portfolio theory 186
Mean-variance analysis, utility functions 197
MFIT statistical package 82 84
Minimum variance portfolios, constrained minimum variance 191
Minimum variance portfolios, covariance matrices 187—192
Minimum variance portfolios, efficient frontier 191
Minimum variance portfolios, global minimum variance 188 189 191
Minimum variance portfolios, risk-free assets 192
Missing data, missing observations 439—440
Missing data, new assets 144
Missing data, principal component analysis (PCA) 18 144 171 174—178 439
Model price, market price 21 22
Moneyness, constant volatility 24
Moneyness, definitions 23 24 25 44
Moneyness, local volatility 37
Monte Carlo simulation for derivatives portfolios 104 105 182
Monte Carlo simulation, covariance matrices, use of 185
Monte Carlo simulation, spread options 367
Monte Carlo simulation, VaR (value-at-risk) models 267 270—273 274 277—278
Morgan Stanley indices 217 369 371
Moving averages, ARMA see "Autoregressive moving average"
Moving averages, confidence intervals 126—128
Moving averages, equally weighted see "Weighted average"
Moving averages, exponentially weighted (EWMA) 49 57—60
Moving averages, historic correlation 49
Moving averages, historic volatility 49
Moving averages, long-term 18
Moving averages, sampling error 63
Moving averages, short/long 51
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