Index 423
Reweighted least squares (RLS), 161
Rich/cheap analysis for the mortgage market,
71–73
Risk
basis risk, 31
company-specific risk, 75
diversifiable risk, 75
factor risk models, 9
independent risk control, 317–318
model risk, 300–301
nonsystemic risk, 75
portfolio, 9
portfolio risk, 9, 11
portfolio risk management, 9–10
residual risk, 75
stock portfolio risk control, 26–32
systemic risk, 75
types of, 75
unique risk, 75
Risk factors, 11
Risk premia, 169
Robust estimations of covariance and
correlation matrices, 166–168
Robust estimations of regressions
about, 158–160
applications, 168–169
illustrations robustness of the corporate
bond yield spread model, 161–166
robust estimations of covariance and
correlation matrices, 166–168
robust regressions based on M-estimators,
161–162
summary/key points, 170
Robust estimators
of the center, 409–410
of the spread, 410
Robust properties, 405
Robust regressions
about, 157–158
robust estimations of regressions, 158–161
Robust regressions based on M-estimators,
161–162
Robust statistics
defined, 405–406
illustration of robust statistics, 410–412
least median of squares (LMedS)
estimator, 408–409
least trimmed of squares estimator, 409
M-estimators, 408
qualitative and quantitative robustness, 406
resistant estimators, 406–408
robust estimators of the center, 409–410
robust estimators of the spread, 410
robust statistics, defined, 405–406
Roll, Richard, 78, 317
Ross, Stephen, 262
Rothschild, Michael, 262
Rousseuw, P., 408
Row vectors, 385S&P 500 Index returns, 111
Sample, 360
Sample defects, 297–300
Sample size, 294, 360
Sampling distribution, 266, 361
Sampling error, 363
Sampling technique, 360–361
Scalar product, 252, 393
Scalars, 385
Scale parameter, 354
Scaling invariant, 341
Scatter diagram, 333
Scatter plot, 333
Schwarz, Gideon, 402
Schwarz Bayesian information criterion,
402–403
Schwarz information criterion, 174, 402
Scores, 249
Sell hedge, 30
Serial correlation, 96
Serial dependence, 171
Setting up, 373
Sharpe, William, 65–66, 75, 149
Sharpe benchmarks, 65–69
Shiller, Robert, 194
Short hedge, 30
Significance level, 378
Significant result, 379
Simin, Timothy T., 168–169
Simple linear regression, 4, 16
Sims, Christopher, 188
Singular matrix, 389
Size effect, 169
Skewness, 331–332, 354
Skew-symmetric matrix, 388
Slope, 24
Small-firm effect, 169
Speed of adjustment coefficient, 205
Spurious regression, 14, 192–193
Square matrices, 387–388