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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 |
Moving averages, time series models 331—332
Moving averages, unconditional correlation 49
Moving averages, unconditional volatility 49
Moving averages, volatility forecasts 126—128
Multi-factor models see also "Factor models"
Multi-factor models, arbitrage pricing theory (APT) 181 233 247
Multi-factor models, explanatory variables 172
Multi-factor models, fundamental factors 233—235
Multi-factor models, ordinary least squares (OLS) 237
Multi-factor models, regression analysis 144
Multicollinearity 144 172—174 436—437
Multivariate distributions, copulas 8
Multivariate GARCH see also "Bivariate GARCH"
Multivariate GARCH, academic research 64
Multivariate GARCH, asymmetry 114
Multivariate GARCH, Baba, Engle, Kraft and Kroner see "BEKK model"
Multivariate GARCH, computational problems 107 115
Multivariate GARCH, conditional mean 111
Multivariate GARCH, convergence 109 115
Multivariate GARCH, correlation estimates and forecasts 205
Multivariate GARCH, covariance matrices 114 115 210
Multivariate GARCH, cross equation restrictions 114
Multivariate GARCH, large-dimensions 108 112
Multivariate GARCH, parameterization 112—114 217
Multivariate GARCH, portfolio risk 112
Multivariate GARCH, vech model 113 218
Multivariate GARCH, volatility estimates and forecasts 217
Multivariate time series, covariance stationarity 341—344
Multivariate time series, Granger causality 315—316 344—346
Multivariate time series, time series models 340—346
Multivariate time series, vector autoregressions 340—341
N-GARCH, local risk-neutral valuation 106
N-GARCH, parameter estimates 107
N-GARCH, volatility smile surface 81 106 107
Neural networks 395—396 447
New assets, missing data points 144
News announcements see also "Market events"
News announcements, asymmetric volatility 79
News announcements, volatility clustering 65—66
Nikkei 225 15 86 89 129 155 199 200 403
Noise, Gaussian white noise 316
Noise, high frequency data 17
Noise, moving averages 49 63
Noise, orthogonal GARCH 216
Non-normal returns, distributions, testing 286—290
Non-normal returns, excess kurtosis 286—287 309—311
Non-normal returns, extreme value distributions 290—296
Non-normal returns, generalized extreme value (GEV) 290 293
Non-normal returns, hyperbolic distributions 296—297
Non-normal returns, non-normal distributions 290—301
Non-normal returns, normal mixture distributions 297—311
Non-normal returns, peaks over threshold (POT) 290—292 294 295
Non-normal returns, QQ plots 288—290
Non-normal returns, skews 286—287
Normal mixture distributions, applications 301—311
Normal mixture distributions, covariance VaR models 302—303
Normal mixture distributions, method of moments 300
Normal mixture distributions, non-normal returns 297—311
Normal mixture distributions, option pricing 305—311
NYMEX 54 56 111 153 154 326 355
Omega, GARCH 77 86 111
Option hedging see also "Delta gamma vega"
Option hedging, GARCH models 98
Option hedging, perfect hedge assumed 21
Option hedging, underlying assets 10
Option pricing 24 see "Put
Option pricing, Black — Scholes model 1 10 21 104 106 305—306
Option pricing, calibrating model 34 43
Option pricing, excess kurtosis 306
Option pricing, GARCH models 98
Option pricing, implied volatility 4 10 21—45
Option pricing, Monte Carlo simulation 104 105
Option pricing, normal mixture distributions 305—311
Option pricing, observed market price 21
Option pricing, over/under priced 29
Option pricing, path dependent 100
Option pricing, smile effect 106—107 136
Option pricing, statistical volatility 29
Option value, discounted expectation 104 138
Ordinary least squares (OLS), alpha 167
Ordinary least squares (OLS), autocorrelation 431 432
Ordinary least squares (OLS), beta 111 167 231 236 238
Ordinary least squares (OLS), capital asset pricing model (CAPM) 111
Ordinary least squares (OLS), constrained allocations 371
Ordinary least squares (OLS), correlation 7
Ordinary least squares (OLS), covariance matrices 237 419—420
Ordinary least squares (OLS), Engle — Granger methodology 354 356
Ordinary least squares (OLS), estimators 414—419 433—436
Ordinary least squares (OLS), high/low risk stock 109
Ordinary least squares (OLS), linear regression models 414—419
Ordinary least squares (OLS), multi-factor models 237
Ordinary least squares (OLS), non-stochastic regressors 417—418
Ordinary least squares (OLS), normal distribution 419
Ordinary least squares (OLS), orthogonality 172
Ordinary least squares (OLS), portfolio risk 237
Ordinary least squares (OLS), regression 167 173 174
Ordinary least squares (OLS), residual analysis 429
Ordinary least squares (OLS), sampling error 236
Ordinary least squares (OLS), stochastic regressors 418—419
Orthogonal GARCH, accuracy 205
Orthogonal GARCH, calibration 211—220
Orthogonal GARCH, conditional correlation 211
Orthogonal GARCH, convergence 217
Orthogonal GARCH, correlation estimates and forecasts 109 110
Orthogonal GARCH, covariance matrices 116 180 210—220
Orthogonal GARCH, eigenvalues and eigenvectors 215 217
Orthogonal GARCH, estimation time periods 220
Orthogonal GARCH, illiquid maturities 214
Orthogonal GARCH, noise 216
Orthogonal GARCH, positive semi-definiteness 211
Orthogonal GARCH, volatility term structures 212
Orthogonality, covariance matrices 144 180 204—227
Orthogonality, exponentially weighted moving average (EWMA) 204 206—210 212—214
Orthogonality, ordinary least squares (OLS) 172
Orthogonality, principal component analysis (PCA) 141 146 204 207—209
OTC options 135 138
OTM (out of the money), Black — Scholes model 136 297 306 309
OTM (out of the money), call options 24 30
OTM (out of the money), equity options 104
OTM (out of the money), implied volatility 30
OTM (out of the money), long-term options 33
OTM (out of the money), market regimes 160
OTM (out of the money), put options 26 28 30 31
OTM (out of the money), risk horizon 43
OTM (out of the money), short-term options 33
OTM (out of the money), volatility forecasts 119
P&L, prediction 446
P&L, simple cash portfolios 261—262
P&L, trading strategy 124 125
P&L, VaR (value-at-risk) models 180 253 254 262—263
P&L, variance 181—182
Parameterization, BEKK model 114
Parameterization, bivariate GARCH 108 109 111
Parameterization, multivariate GARCH 112—114 217
Parameterization, vech models 113 114
Parameterization, volatility surfaces 167—170
Persistence, in volatility see also "Beta"
Persistence, in volatility, exponentially weighted moving average (EWMA) 59 207
Persistence, in volatility, GARCH models 92
Persistence, in volatility, high frequency data 83
Persistence, in volatility, I-GARCH 76
Persistence, in volatility, Japan 86
Persistence, in volatility, RiskMetrics data 76 202
Persistence, in volatility, United States 86 91
Phillips — Perron test 328
Point forecasts, evaluation, accuracy 119—125
Point forecasts, meaning 118
Point forecasts, option valuation 136
Point forecasts, volatility 118 126
Portfolio diversification, correlation 186—187
| Portfolio risk see also "Risk"
Portfolio risk and returns 190 197 199
Portfolio risk, covariance matrices 179
Portfolio risk, determinants 1
Portfolio risk, factor models 237
Portfolio risk, irreducible risk 9—10
Portfolio risk, minimum-risk 112 179
Portfolio risk, multivariate GARCH 112
Portfolio risk, ordinary least squares (OLS) 237
Portfolio risk, stress covariance matrices 185
Portfolio theory, mean-variance analysis 186
Portfolios, beta 231—232
Portfolios, dynamically hedged 138—140
Portfolios, efficient portfolios in practice 198—201
Portfolios, marked-to-market (MtM) value 119 134—135
Portfolios, rebalancing 200—201
Portfolios, simple cash portfolios 261—262
Portfolios, volatility 9—10
Positive semi-definiteness, covariance matrices 116 179 180 181 206 211
Positive semi-definiteness, exponentially weighted moving average (EWMA) 184
Positive semi-definiteness, GARCH models 184
Positive semi-definiteness, orthogonal GARCH 211
Positive semi-definiteness, rounding error 184
Prediction, backtesting 444—445
Prediction, confidence intervals 444
Prediction, interval predictions 133—134 444
Prediction, likelihood 445
Prediction, long-term 52
Prediction, mean absolute error 445
Prediction, mean square error 445
Prediction, out-of-sample correlation coefficient 445
Prediction, P&L 446
Prediction, point predictions 443
Prediction, post-sample predictions 121 122
Prediction, price prediction models 401—407
Prediction, root mean square error (RMSE) 445
Prediction, statistical operation evaluation methods 445—447
Prediction, tails prediction 125
prices see also "Option pricing" "Financial "Market "Spot "Underlying
Principal component analysis (PCA), advantages 143
Principal component analysis (PCA), collinear variables 143 144 171—174
Principal component analysis (PCA), conditional covariance 162—163
Principal component analysis (PCA), correlation 143 220
Principal component analysis (PCA), covariance matrices 144 204 205—206
Principal component analysis (PCA), data problems overcome 18 144 171—178
Principal component analysis (PCA), dimensions, reduction 141 143—144 153
Principal component analysis (PCA), eigenvalues 145 146 147 152 153 154 159
Principal component analysis (PCA), eigenvectors 145 152 153 154 159
Principal component analysis (PCA), fixed strike volatility 157 158 159—167 169
Principal component analysis (PCA), mathematical background 145—146
Principal component analysis (PCA), missing data 18 144 171 174—178 439
Principal component analysis (PCA), orthogonality 141 146 204 207—209
Principal component analysis (PCA), principal components representation 146
Principal component analysis (PCA), purpose 141
Principal component analysis (PCA), risk factors 204
Principal component analysis (PCA), scenario analysis 39 143 144 154—155 282
Principal component analysis (PCA), skews 154—171
Principal component analysis (PCA), smile effect 154—171
Principal component analysis (PCA), term structures 143 147—154
Principal component analysis (PCA), unconditional correlation matrices 147
Principal component analysis (PCA), unconditional covariance 162 206
Principal component analysis (PCA), variance 146
Principal component analysis (PCA), yield curves 147—153
Process volatility, Black — Scholes model 11 23
Process volatility, F-test 123
Process volatility, price process volatility 22 118
Process volatility, realized volatility, distinguished 11 121 123
Process volatility, VaR (value-at-risk) models 139
Process volatility, volatility forecasts 117 118 129
Process volatility, volatility surface 34
Put options, ATM options 30
Put options, Black — Scholes model 23—24
Put options, implied volatility 26—28
Put options, ITM 30
Put options, OTM 26 28 30 31
Put options, volatility term structures 31 32
QQ plots 288—290
Quadratic GARCH 81
Quadratic programming, investment analysis 185
Quadratic variance 181
Quadratic volatility surfaces 38 45 144 168
Random walk, components GARCH 78—79
Random walk, exchange rates 75
Random walk, I-GARCH 90
Random walk, stochastic processes 351
Random walk, time series models 320—322
Random walk, tracking error 350
Range-bounded markets, market regimes 36 44 117 156
RATS (Regression Analysis of Time Series) 80
Reaction see also "Alpha"
Reaction, exponentially weighted moving average (EWMA) 59 207
Reaction, GARCH models 92
Reaction, RiskMetrics data 202
Reaction, volatility 59 73 86 90
Realized volatility, combined forecasts 132—133
Realized volatility, confidence intervals 133
Realized volatility, process volatility, distinguished 11 121 123
Realized volatility, standard error 133
Recursion, gradient vectors 95
Regression, autoregression 329—331 340—341
Regression, benchmark tracking models 144
Regression, equation 115
Regression, errors-in-variables 123
Regression, linear see "Linear regression models
Regression, multi-factor models 144
Regression, squared returns 123 124
Regression, standard error 372
Regression, systems of seemingly unrelated regression equations (SURE) 434—435
Regression, variance forecasts 123 124
Regret, downside risk 259
Residual analysis, autocorrelation 429—432
Residual analysis, ordinary least squares (OLS) 429
Return distributions, dispersion 119
Return distributions, fat-tailed 30 82 125
Return distributions, specification 122
Risk see also "Portfolio risk"
Risk aversion, assumption 198
Risk aversion, coefficients 195
Risk aversion, constant absolute risk aversion (CARA) 196
Risk aversion, constant relative risk aversion (CRRA) 196 197
Risk aversion, efficient frontier 197
Risk aversion, indifference 197—198
Risk aversion, trading limits 186
Risk aversion, utility function 195—196
Risk factors, arbitrage pricing theory (APT) 233
Risk factors, capital asset pricing model (CAPM) 232
Risk factors, covariance matrices 179
Risk factors, derivatives portfolios 182—183
Risk factors, factor models 229
Risk factors, generalized least squares 237—238
Risk factors, linear portfolios 181
Risk factors, Monte Carlo simulation 185
Risk factors, principal component analysis (PCA) 204
Risk factors, RiskMetrics data 202
Risk factors, variance 183
Risk horizons, volatility forecasts 11 43 57 60 117
Risk management, back office 180
Risk management, beta 109 236
Risk management, constant parameter assumptions 237—238
Risk management, copulas 9
Risk management, covariance matrices 179 180—185
Risk management, risk factors 143
Risk management, scenario analysis 34 38—43 141
Risk management, stress covariance matrices 185
Risk management, stress testing 141
Risk management, VaR (value-at-risk) models 236 259
Risk measurement, cash-flow maps 256
Risk measurement, classical techniques 236—239
Risk measurement, coherent risk measures 259
Risk measurement, constant parameter assumptions 237—238
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