Anon

Index 417 Ex ante justification and financial economic theory, 307–309 Excess kurtosis, 353 Excess return, 25, 386 Exogenous reg ...

418 Index Generalized autoregressive conditional heteroscedasticity model, 224 Generalized central limit theory, 357, 363 Genera ...

Index 419 Jagannathan, Ravi, 68–69, 71 Jarque, Carlos, 152 Jarque-Bera (JB) normality test, 150 Jarque-Bera test statistic, 93–9 ...

420 Index Matrix operations, 393–396 addition, 394 inverse and adjoint, 395–396 multiplication, 394–395 transpose, 393–394 Maxim ...

Index 421 Multiple linear regression about, 41 applications to finance, 51–79 assumptions of, 43 diagnostic check and model sign ...

422 Index Portfolio risk management, 9–10 Positive autocorrelation, 97 Positive process, 219 Power law, 354 Power of a test, 379 ...

Index 423 Reweighted least squares (RLS), 161 Rich/cheap analysis for the mortgage market, 71–73 Risk basis risk, 31 company-spe ...

424 Index Squared error, 19 Stability property, 356 Stable distributions, 353 Stable under summation distribution, 346 Standard ...

Index 425 Transpose operation, 392 Trimmed mean, 409, 411 True global factors, 262 Tukey function, 161 Two-pass regression, 76 T ...

426 Index Weak law of large numbers, 367 Weakly stationary variables, 194 Weighted least squares estimates, 96 Weighted least sq ...