ACD model, 301
exponential, 302
generalized Gamma, 303
Weibull, 302
Airline model, 101
Akaike information criterion (AIC), 61
APARCH model, 224
ARCH effect, 182
ARCH model, 185
estimation, 189
t distribution, 190
GED innovation, 191
normal, 189
skew t distribution, 191
Augmented Dickey–Fuller test, 92
Autocorrelation, 45
Autocorrelation function (ACF), 45
Autocovariance, 43
Autoregressive integrated moving-average (ARIMA) model, 91
Autoregressive model, 51
estimation, 64
forecasting, 67
order, 60
stationarity, 59
Autoregressive moving-average (ARMA) model, 78
forecasting, 84
Back-shift operator, 55
Bar chart, 27
Bartlett’s formula, 45
Bayesian information criterion (BIC), 62
bid-ask bounce, 279
bid-ask spread, 279
Bonds
current yield, 8
par value, 8
yield to maturity, 8
Business cycle, 56
Capital asset pricing model, 256
Characteristic equation, 59
Co-integration, 112
Compounding, 4
Conditional distribution, 21
Conditional forecast, 68
Conditional likelihood method, 74
Conditional value at risk, 335
Correlation coefficient, 43
Data
CAT returns, 246
CSCO returns, 246
GE returns, 246
BA Merrill Lynch AAA total return index, 343
CAT transactions, 280, 295, 298, 304
Coca Cola’s earnings, 98
CRSP monthly value-weighted idnex, 118
crude oil price, 129
decile 10 monthly returns, 45
Dollar-Euro exchange rate, ...
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