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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