Anon

Index 415

Characteristic equation, 397
Characteristic exponent, 353
Characteristic line, 25, 76
Characteristic polynomial, 397
Characteristics, 386
Check function, 145
Chervonenkis, Y. A., 294, 399
Chi-square distribution, 48, 50, 93, 343,
347–349, 352
Chi-square statistic, 93, 101
Chi-square test statistic, 341–342
Chow test, 115, 120, 131–132, 140
Classical factor models, 241
Coefficient matrix, 389
Coefficient of determination (R^2 ),
22–24
and correlation coefficient, 54
Coefficient of partial determination, 85
Cofactor, 389
Cointegration
about, 191–192
stationary and nonstationary variables,
192–196
testing for cointegration, 196–211
Collinearity, 81
Column vectors, 385
Company-specific risk, 75
Complexity (Waldrop), 291–292
Components, 385
Condensation, 301–303
Conditional distribution, 336–337
Conditional frequency distribution, 337
Conditioned heteroscedastic sequence,
218–219
Confidence intervals
confidence level and confidence interval,
369–372
definition and interpretation, 371–372
Confidence level, 371
Confidence level and confidence interval
about, 369–370
confidence intervals, definition and
interpretation, 371–372
confidence level definition, 370–371
Confidence level definition, 370–371
Consistency, 365–368
Consistent estimator, 368
Consistent system, 390
Consistent test, 383
Constant terms, 389

Constant variance of the error term

(homoschedasticty) tests, 95–96

weighted least squares estimation

technique, 95–96

Contingency coefficient, 341–342

Contingency table, 333

Continuous probability distributions

about, 343

chi-square distribution, 347–349

f-distribution, 352–353

normal distribution, 344–347

a-stable distribution, 353–357

student’s t-distribution, 349–351

Continuous variables, 326

Continuous vs. discrete variables, 326–327

Convergence in probability, 366

Corrected contingency coefficient, 342

Corrected sample variance, 331

Correlation, 38, 340–341

role, 13–14

stock return example, 14

Correlation coefficient, 341

Correlation table, 333

Covariance, 38, 338–340

defined, 338

Covariance matrix, 388

between major asset classes, 8

Covariance matrix of data, 252–253

Covariance of data matrix, eigenvalue of,

255

Critical region, 375

Critical values, 267

Cross hedging, 31

Cross-sectional and times series, 322–323

Cross-sectional data, 323

Cross-sectional variables, 333

Cumulative frequency distributions,

327–328

Data, changes to, 6

Data analysis, basic, 321–328

about, 321–322

cross-sectional and times series, 322–323

frequency distribution, 323

Data availability, 2

Data back, 254–255

Data generating process (DGP), 5–6, 11, 298

Data matrix covariance, eigenvalue of, 255

Data mining, 3, 11

Data set size, 329