413Index
Absolute cumulative frequency, 327
Absolute deviation, 330
Absolute frequency, 323
Absolute joint frequency distribution, 333
Acceptance region, 375
Active portfolio strategy, 8
Active return, 9
Addition, 392, 394
defined, 394
of vectors, 392
Adjoint, 395–396
Adjusted R squared (R^2 ), 24, 49
AIC (Akaike information criterion). See
Akaike information criterion (AIC)
Aitken’s generalized least squares (GLS)
estimator, 99
Akaike information criterion (AIC), 173,
399–402
second order, 401
Akaike weights, 402
Alternative hypotheses, 373
Analysis of variance (ANOVA) test, 47
Anderson, David R., 401, 403
Application to S&P 500 Index returns,
106–108
Application to stock returns, 20–22
Applications, 87–88, 168–169
Applications to finance
about, 148–149
capital structure, factors impacting,
151–155
estimation of empirical duration, 51–59
multifactor models evidence, 78–79
portfolio manager style determination,
149–151
predicting the 10-year Treasury yield,
59–65
return-based style analysis for hedge
funds, 69–79
rich/cheap analysis for the mortgage
market, 71–73
Sharpe benchmarks, 65–69
testing for strong-form-pricing efficiency,
73–75
tests of the Capital Asset Pricing Model,
75–78
Applications to investment management,
6–10
Approximate factor models, 241, 261–263
and PCA, 263–264
AR (autoregressive) model, 189
ARCH (autoregressive conditioned
heteroscedasticity)
in the mean model, 223
models, 215
variants to models, 224
ARCH behavior
about, 215–219
ARCH in the mean model, 223
modeling of, 215–223
ARCH/GARCH model estimates, 229
ARCH/GARCH model representation, 226
ARCH/GARCH modeling, multivariate
extensions, 226, 231–233
Arrays, 385
Arrow, Kenneth, 292
Asset allocation, 7–8
Asset classes, 5
Assumed statistical properties about error
term, 92
Assumptions, 43
Assumptions testing of multiple linear
regression model, 88–100
about, 88–90
assumed statistical properties about error
term, 92
linearity tests, 90–92
normal distribution tests for residuals,
92–95
A-stable distribution, 353–357
Asymptotic properties of estimators, 365
Attributes, 386