Anon

Index 425

Transpose operation, 392
Trimmed mean, 409, 411
True global factors, 262
Tukey function, 161
Two-pass regression, 76
Two-tailed test, 373
Type I error, 375–376
Type II error, 375–376

Unbiased efficiency, 368
Unbiased estimator, 364
Unbiased test, 382–383
Uniformly most powerful (UMP) test,
380–382
Unique risk, 75
Unit root, 195
Univariate modeling, 41
Univariate regression, 16
Unobserved variables, 237, 241
Up-market, 132

Value at risk (VAR), 148
Vapnik, V. N., 294, 399
Variables. See also Dependent categorical
variables; Explanatory variables;
Independent Variables; Multivariate
variables and distributions;
Regression models with categorical
variables
bivariate, 332
categorical, 140
continuous, 326
continuous vs. discrete, 326–327
continuous vs. discrete variables, 326–327
cross-sectional, 333
dependent categorical variables, 137–140
endogenous, 17
exogenous, 17
independent, 14–16
independent categorical variables,
116–136
instrumental, 283–284
instrumental variables (IV), 283–284
nonstationary, 194
observed, 241
quantitative, 322
stationary, 194
stationary and nonstationary, 192–196
unobserved, 237, 241
weakly stationary, 194

Variance

conditional, 213, 223, 234, 276

constant, 16–18, 38, 95, 171, 194, 218,

226, 277

finite, 346, 351, 356–357, 364, 367

minimum, 278, 359, 365, 369

residual, 47, 95

sample, 188, 331, 369

and standard deviation, 330–331

unconditional, 219, 221

unit, 221, 243, 250

Variance changes, conditional to series

present value, 219

Variance decay of principal components,

255–257

Variance inflation factor, 84

Variance of principle component, 252

Variance-covariance matrices, 166, 388

Variation, 330

VEC-GARCH model, 232

Vector and matrix operations, 391–396

about, 391–392

vector operations, 392–393

Vector autoregressive models, 188–189

Vector form, 238

Vector operations

addition, 392

matrix operations, 393–396

multiplication, 393

transpose, 392

Vectors, 385–389

addition of, 392

Vectors and matrices, defined, 385–387

matrices, 386–389

vectors, 385–389

Volatility

forecasting, 95, 214–215

future, 214–216, 234

high, 215, 223

historical, 214, 234

low, 215, 221, 223

realized, 214

return, 32, 228

and risk, 217

stochastic, 213–230

Volatility estimating and forecasting,

214–215

Wald test statistic, 147, 151, 156

Waldrop, M. Mitchell, 291–292