Advances in Risk Management

376 INDEX

weather derivative portfolioscontinued
incorporation of hedging constraints
165–6
incorporation of sampling error 162
methods of estimating risk in 160–2
nature of weather derivatives 157–9
Weber, M. 304
weights, portfolio
covariance structure of asset returns
and optimal portfolio weights
243–6
importance in GARCH volatility
estimation models 53–6, 66
relative weight changes 51–3
White, A. 109, 354
Wolf, M. 163, 241, 258
Wongswan, J. 305
Woodall, W.H. 258
Woodward, D. 360
Wooldridge, J.M. 311, 335, 342, 344,
345

Wu, G. 329

Xu, Y. 108, 111

Yashchin, E. 242

Yashin, A.I. 143

yield curve 69–70, 83–4

forecasting stochastic volatility and

86–106

shifts in 77–83

yield curve options 209–10

yields 76–83

Yildirim, Y. 189

Yong, S. 304, 323

zero-coupon bonds 72–4

inflation-linked 173, 177–81

Zhang, J. 248, 249, 250

Ziemba, W.T. 23