Anon

Contents xi

• ChAPter About the Authors xix
  
  
  • Introduction
    
    
    • Financial Econometrics at Work
    
    
    • The Data Generating Process
    
    
    • Applications of Financial Econometrics to Investment Management
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Simple Linear regression
    
    
    • The Role of Correlation
      
      
      • between Two Variables Regression Model: Linear Functional Relationship
      
      
      
      
    
    
    • Distributional Assumptions of the Regression Model
    
    
    • Estimating the Regression Model
    
    
    • Goodness-of-Fit of the Model
    
    
    • Two Applications in Finance
    
    
    • Linear Regression of a Nonlinear Relationship
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Multiple Linear regression
    
    
    • The Multiple Linear Regression Model
    
    
    • Assumptions of the Multiple Linear Regression Model
    
    
    • Estimation of the Model Parameters
    
    
    • Designing the Model
    
    
    • Diagnostic Check and Model Significance
    
    
    • Applications to Finance
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter viii Contents
  
  
  • Building and testing a Multiple Linear regression Model
    
    
    • The Problem of Multicollinearity
    
    
    • Model Building Techniques
    
    
    • Testing the Assumptions of the Multiple Linear Regression Model
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Introduction to time Series Analysis
    
    
    • What Is a Time Series?
    
    
    • Decomposition of Time Series
    
    
    • Representation of Time Series with Difference Equations
    
    
    • Application: The Price Process
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • regression Models with Categorical Variables
    
    
    • Independent Categorical Variables
    
    
    • Dependent Categorical Variables
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Quantile regressions
    
    
    • Limitations of Classical Regression Analysis
    
    
    • Parameter Estimation
    
    
    • Quantile Regression Process
    
    
    • Applications of Quantile Regressions in Finance
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • robust regressions
    
    
    • Robust Estimators of Regressions
      
      
      • Corporate Bond Yield Spread Model Illustration: Robustness of the
      
      
      
      
    
    
    • Robust Estimation of Covariance and Correlation Matrices
    
    
    • Applications
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Autoregressive Moving Average Models
    
    
    • Autoregressive Models
    
    
    • Moving Average Models
    
    
    • Autoregressive Moving Average Models
    
    
    • ARMA Modeling to Forecast S&P 500 Weekly Index Returns Contents ix
    
    
    • Vector Autoregressive Models
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Cointegration
    
    
    • Stationary and Nonstationary Variables and Cointegration
    
    
    • Testing for Cointegration
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Autoregressive heteroscedasticity Model and Its Variants
    
    
    • Estimating and Forecasting Volatility
    
    
    • ARCH Behavior
    
    
    • GARCH Model
    
    
    • What Do ARCH/GARCH Models Represent?
    
    
    • Univariate Extensions of GARCH Modeling
    
    
    • Estimates of ARCH/GARCH Models
    
    
    • Application of GARCH Models to Option Pricing
    
    
    • Multivariate Extensions of ARCH/GARCH Modeling
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Factor Analysis and Principal Components Analysis
    
    
    • Assumptions of Linear Regression
    
    
    • Basic Concepts of Factor Models
    
    
    • Assumptions and Categorization of Factor Models
      
      
      • Factor Models and Linear Regression Similarities and Differences between
      
      
      
      
    
    
    • Properties of Factor Models
    
    
    • Estimation of Factor Models
    
    
    • Principal Components Analysis
    
    
    • Differences between Factor Analysis and PCA
    
    
    • Approximate (Large) Factor Models
    
    
    • Approximate Factor Models and PCA
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Model estimation
    
    
    • Statistical Estimation and Testing
    
    
    • Estimation Methods
    
    
    • Least-Squares Estimation Method
    
    
    • The Maximum Likelihood Estimation Method
    
    
    • Instrumental Variables x Contents
    
    
    • Method of Moments
    
    
    • The M-Estimation Method and M-Estimators
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Model Selection
    
    
    • Physics and Economics: Two Ways of Making Science
    
    
    • Model Complexity and Sample Size
    
    
    • Data Snooping
    
    
    • Survivorship Biases and Other Sample Defects
    
    
    • Model Risk
    
    
    • Model Selection in a Nutshell
    
    
    • Key Points
    
    
    
    
  
  
  
  


• ChAPter
  
  
  • Financial econometrics Formulating and Implementing Investment Strategies Using
    
    
    • The Quantitative Research Process
    
    
    • Investment Strategy Process
    
    
    • Key Points
    
    
    
    
  
  
  • descriptive Statistics APPendIx A
    
    
    • Basic Data Analysis
    
    
    • Measures of Location and Spread
    
    
    • Multivariate Variables and Distributions
    
    
    
    
  
  
  • Financial econometrics Continuous Probability distributions Commonly Used in
    
    
    • Normal Distribution
    
    
    • Chi-Square Distribution
    
    
    • Student’s t-Distribution
    
    
    • F-Distribution
    
    
    • α-Stable Distribution
    
    
    
    
  
  
  • Inferential Statistics APPendIx C
    
    
    • Point Estimators
    
    
    • Confidence Intervals
    
    
    • Hypothesis Testing
    
    
    
    
  
  
  • Fundamentals of Matrix Algebra APPendIx d
    
    
    • Vectors and Matrices Defined
    
    
    • Square Matrices
    
    
    • Determinants
    
    
    • Systems of Linear Equations
    
    
    • Linear Independence and Rank
    
    
    • Vector and Matrix Operations
    
    
    • Eigenvalues and Eigenvectors
    
    
    
    
  
  
  • Model Selection Criterion: AIC and BIC APPendIx e
    
    
    • Akaike Information Criterion
    
    
    • Bayesian Information Criterion
    
    
    
    
  
  
  • robust Statistics APPendIx F
    
    
    • Robust Statistics Defined
    
    
    • Qualitative and Quantitative Robustness
    
    
    • Resistant Estimators
    
    
    • M-Estimators
    
    
    • The Least Median of Squares Estimator
    
    
    • The Least Trimmed of Squares Estimator
    
    
    • Robust Estimators of the Center
    
    
    • Robust Estimators of the Spread
    
    
    • Illustration of Robust Statistics
    
    
    
    
  
  
  
  


• Index