Anon

414 Index

Augmented Dickey-Fuller statistic, 197
Augmented matrix, 389–390
Autocorrelation, 92
Autocorrelation function, 197
Autocorrelation of the residuals absence,
96–100
about, 96–97
autoregressive moving average models,
99–100
detecting autocorrelation, 97–99
modeling in presence of autocorrelation, 99
Autoregression moving average (ARMA)
modeling to forecast S&P 500 weekly
index returns, 181–188
Autoregression moving average (ARMA)
models, 99–100, 102, 178–181
about, 171–172, 197–199
ARMA modeling to forecast S&P 500
weekly index returns, 181–188
autoregressive models, 172–176
autoregressive moving average models,
178–181
empirical illustration of the Engle-Granger
procedure, 199–205
empirical illustration of the Johansen-
Juselius procedure, 207–211
Johansen-Juselius cointegration test,
205–211
moving average models, 176–178
vector autoregressive models, 188–189
summary/key points, 189–190, 211
Autoregressive conditional heteroscedastic.
See ARCH
Autoregressive heteroscedasticity model and
variants
about, 213–214
ARCH behavior, 215–223
ARCH/GARCH model estimates, 229
ARCH/GARCH model representation, 226
ARCH/GARCH modeling, multivariate
extensions of, 226, 231–233
GARCH model, 223–225
GARCH modeling applications to option
pricing, 230–231
GARCH modeling, univariate extensions
of, 226–228
multivariate extensions, 230–231
volatility estimating and forecasting,
214–215
summary/key points, 233–234

Autoregressive models

about, 172–173

information criteria, 173–176

partial autocorrelation, 173

Autoregressive moving average (ARMA),

178

Autoregressive of order one, 103

Backtesting, 4–5, 11, 319

Bai, Jushan, 263

Banz, Rolf W., 169

Basic regression, 38

Basis, 31

Basis risk, 31

Bassett, Gilbert, 143, 147

Bayesian information criterion (BIC), 174,

399, 402–403

Benchmark, 9

Bera, Anil, 152

Best linear unbiased estimator (BLUE), 20,

276, 369

Beta, 26

Bias, 363–364

Biased estimator, 364

Bivariate regression, 16

Bivariate variables, 332

Black, Fisher, 227, 315

Black-Scholes model, 230

Bloomberg Financial, 151, 153

BLUE (best linear unbiased estimator), 26,

276, 369

Bollerslev, Tim, 224, 233

Box, George, 179

Box-Jenkins estimation model, 179

Boyce, Thomas, 300

Breakdown bound (BD), 407

Bubbles

financial, 191

stock market, 196, 204

Burnham, P., 401, 403

Buy hedge, 30

Campbell, John, 194

Capital structure, 6, 149

factors impacting, 151–155

Capitalization, 1

Categorical variables, 140

Center and location, 329–330

Central length theorem, 346

Chamberlain, Gary, 262