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Financial Risk Modelling and Portfolio Optimization with R by Bernhard Pfaff

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List of abbreviations

2OLS Two-stage ordinary least-squares
3OLS Three-stage ordinary least-squares
ACF Autocorrelation function
ADF Augmented Dickey–Fuller
AMPL A modelling language for mathematical programming
ANSI American National Standards Institute
AP Active premium
APARCH Asymmetric power ARCH
API Application programming interface
ARCH Autoregressive conditional heteroscedasticity
AvDD Average draw-down
BL Black–Litterman
BP Break point
CDaR Conditional draw-down at risk
CLI Command line interface
CLT Central limit theorem
COM Component object model
COP Copula opinion pooling
CPPI Constant proportion portfolio insurance
CRAN Comprehensive R Archive Network
CVaR Conditional value at risk
DBMS Data Base Management System
DD Draw-down
DE Differential evolution
DR Diversification ratio
EDA Exploratory data analysis
EGARCH Exponential GARCH
EM Expectation maximization
EMA Exponentially weighted mean
EP Entropy pooling
ERS Elliott–Rothenberg–Stock
ES Expected shortfall
EVT Extreme value theory
FIML Full-information maximum likelihood
GARCH Generalized autoregressive conditional heteroscedasticity
GEV Generalized extreme value
GHD Generalized hyperbolic distribution
GIG Generalized inverse Gaussian
GLD Generalized lambda distribution
GLPK GNU Linear Programming Kit
GMPL GNU MathProg modelling language
GMV Global minimum variance
GoF Goodness of fit
GOGARCH Generalized orthogonal GARCH

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