Index 419
Jagannathan, Ravi, 68–69, 71
Jarque, Carlos, 152
Jarque-Bera (JB) normality test, 150
Jarque-Bera test statistic, 93–94, 152
Jenkins, Gwilym, 179
Johansen, Soren, 206–207
Johansen-Juselius cointegration test, 196,
205–211
Joint frequency distribution, 333
Jones, Robert, 74, 78
Juselius, Katarina, 206
Keynes, John Maynard, 312
Knez, Peter J., 169
Koenker, Roger, 143, 147
Kullback, S., 400
L (lambda) space test statistic, 206
Lag i autocorrelation, 197
Lagged correlation, 96
Lagging, 78
Large-sample criteria, 365–369
consistency, 365–368
linear-unbiased estimators, 368–369
unbiased efficiency, 368
Large-sample properties of estimators, 365
Largest value added, 315–316
Law of large numbers, 367
Least median of squares (LMedS) estimator,
408–409
Least trimmed of squares estimator, 409
Least-squares (LS) estimation method
about, 268–273
generalized least squares method, 278
maximum likelihood estimation method,
278–283
ordinary least squares method, 273–276
weighted least squares method, 276–278
Leibler, R. A., 400
Leverage effect, 215, 227
Leverage points, 159, 170
Lévy stable distributions, 353
Light-tailed distribution, 94
Likelihood, 243
Limiting distribution, 363
Linear dependence, direction, 14
Linear equation systems, 389–390
Linear estimators, 362–363
Linear independence and rank, 391
Linear probability model, 137–138, 140–141
Linear regression, 79
assumptions, 236–237
correlation, role of, 13–14
of exponential data, 38
finance applications, 25–26
goodness-of-fit of model, 22–24
of nonlinear relationship, 36–38
regression model, 14–16
regression model assumptions, 16–18
regression model estimates, 18–22
summary/key points, 38–39
Linear unbiased estimators, 368–369
Linearity tests, 90–92
Lippet (publisher), 74
Ljung Box Q-statistic. See Q-statistic
Lo, Andrew, 308
Local factors, 262
Local shift sensitivity, 408
Location of distribution, 354
Location-scale invariant, 345
Logistic distribution, 140
Logistic regression model, 140–141
Logit regression model, 139–140
Log-likelihood, 278
Long hedge, 30M x n identity matrix, 387
Ma, Lingie, 148, 314
Machine learning approach, 294
Management decisions, 6
Mandelbrot, Benoit B., 353
Manganelli, Simone, 148
Marginal distributions, 333
Marginal frequency, 333
Marginalization, 118
Market-neutral funds, 68
Martin, R. Douglas, 168–169
Matrices, 386–389
Matrix, dimensions, 387
Matrix, elements of, 387
Matrix algebra fundamentals
determinants, 388–389
eigenvalues and eigenvectors,
396–397
linear equation systems, 389–390
linear independence and rank, 391
square matrices, 387–388
vector and matrix operations, 391–396
vectors and matrices, defined, 385–387
Matrix form, 238