416 Index
Data snooping, 292, 296–297
Data structure, 294
DataStream, 183
Decision rule, 372, 374
Decomposition, 104–108
Decomposition of time series analysis
about, 104–106
application to S&P 500 Index returns,
106–108
Degrees of freedom, 347
Delta AIC, 401
De-meaned data, 240
Dependent categorical variables
linear probability model, 137–138
logit regression model, 139–140
probit regression model, 138–140
Dependent equations, 338
Dependent variable, 14, 38
Dependent variables influence, 283
Descriptive statistics
data analysis, basic, 321–328
measures of location and spread,
328–332
multivariate variables and distributions,
332–342
Descriptors, 157
Detecting autocorrelation, 97–99
Determinants, 388–389
Deterministic trend, 191
Diagnostic check and model significance
about, 46–47
F-test for inclusion of additional variables,
50–51
testing for independent variables
significance, 49–50
testing for model significance, 47–49
Diagonal matrix, 387
Dichotomous variable, 116, 140
Dickey-Fuller statistic, 197
Dickey-Fuller test, 97, 198, 202–203
Dimensions, 387
Discovery heuristics, 296
Discrete variables, 326
Distribution-free properties, 405
Diversifiable risk, 75
Dor, Arek Ben, 68–69, 71
Down-market, 132
D-statistic, 97
Dummy variable, 116, 140
Durbin-Watson d-statistic, 97
Durbin-Watson test, 97
Dynamic asset allocation, 7Earnings before interest and taxes (EBIT),
121
Earnings before interest, taxes, depreciation
and amortization (EBITDA), 121
Efficient estimator, 368
Efficient price processes, 110
Eigenvalues, 252, 396–397
Eigenvectors, 252, 396–397
Elements of matrix, 387
Emotions influence, 312–313
Empirical cumulative distribution frequency,
324
Empirical cumulative frequency, 324
Empirical cumulative frequency distribution,
324–326
Empirical duration, 51
Empirical illustration of the Engle-Granger
procedure, 199–205
Empirical illustration of the Johansen-
Juselius procedure, 207–211
Empirical moment of P, 284
Empirical rule, 347
Enders, Walter, 194, 207
Endogenous variables, 17
Engle, Robert F., 2, 148, 189, 197, 205,
215
Engle-Granger cointegration tests, 196–205
Equally weighted average approach, 214
Error correction, 111–113
Error correction equations, 204, 210
Error correction model, 113–114, 198
Error terms, 38, 79
Error types, 375–376
Estimate, 362
Estimation methods, 267–268
Estimation of empirical duration, 51–59
Estimation of number of factors, 245
Estimation window length, 5
Estimations vs. prediction errors, 310–312
Estimators, 361–362. See also Linear
estimators; M-estimators; Point
estimators; Resistant estimators; Robust
estimators
Estimators, quality criteria, 363–365
bias, 363–364
mean squared error, 364–365
Evidence ratios, 402