INDEX 369futures contracts 26, 34, 35
Galluccio, S. 357, 358, 360
Gallus, C. 203
Gamma 358–9, 362–3
GARCH models 48
conditional volatility 89, 90, 91
importance of portfolio weights in
GARCH volatility estimation
models 53–6, 66
multivariate seemultivariate
GARCH models
Gatfaoui, H. 109, 110, 111, 126
Gemmill, G. 124
Generale, A. 48
Generalized Pareto Distribution
(GPD) 7
generalized scenarios 27
geometric Brownian motion 171–2
Georges, P. 3
German stock market 331–51
Geske, R. 108
Gibbons, M.R. 258
Gibson, R. 192
Glaser, M. 304
global minimum variance portfolio
(GMVP) 242, 243–6, 247
global risk models 222
Glosten, L.R. 330, 344
Goetzmann, W.N. 128
Goldstein, R.S. 108, 124
goodness-of-fit tests 5–6, 9–10
Gourieroux, C. 48
Goyal, A. 108–9
Green, T.C. 192
Greenspan, A. 195
Gruber, M.J. 108
Gultekin, M.N. 328
Gumbel, E.J. 7
Gunther, T.A. 216
Hagan, P. 360
Hamao, Y. 305
harmonized consumer price index
(HCPI) 171
Healy, J.D. 248
Heath, D. 22, 24–5, 27, 28
hedging
constraints 165–6
of derivatives and model selection
353–64
with inflation-linked products
182–9
managing interest rate risk 74–5
model risk and 202–3
super-hedging strategies 203
hedging error 355, 356–63
analytical expression of total hedging
error 357–9
numerical results 359–63
Helwege, J. 109, 128
Hendry, O.L. 328
Hentschel, L. 342
Hertz, D.B. 278
Heston, S. 354, 356
heteroskedasticity 339
Hicks, D. 158, 160
Hillier, F. 278, 285–6
Hirsa, A. 210
hit function, tests based on 214–15
Hoeffding, W. 286
Hofmann, N. 112
Hon, M.T. 304, 323
Hotelling, H. 248
Houston, J.F. 285
Huang, J.-Z. 109, 125, 128
Hübner, G. 8
Hull, J. 109, 354
hurdle rates 281Iachine, I.A. 143
IBEX35 index 305–8, 312–23
idiosyncratic risk 107–31
illiquidity 35–7
Iman, R. 163
implied volatility 109, 195–7, 354
increase in slope of yield curve
(steepening) 81–2, 83
independence property 215
inflation index
modeling the evolution of 171–3
optimal portfolios 178, 179
inflation-linked products 170–90
hedging with 182–9; investment in
bond and stock 186–7;
investment in bond, stock and
inflation 184–6; numerical
examples 188–9
optimal portfolios with 173–82
information asymmetries 283
information and communication
technologies (ICT) 57, 63, 64
insurance
contracts 159
portfolio seeportfolio insurance
intensity-based models 132–55
comparisons between dependence
indicators 139–43