August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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Elsevier UK Index-H8321 jobcode: FEF 28-6-2007 2:27p.m. Page:281 Trimsize:165
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Index
Adler, M., 41
Agarwal, V., 192, 205
Aggression of strategy, 221–2, 224–6
Almgren, R., 179
Ambiguity aversion, 178, 180–1, 187
robustness and, 184–6
Amihud, Y., 9, 194, 195, 196, 198–9, 202–4, 211
Amin, K., 152
Ananthanarayanan, A., 122–3
Anderson, E., 181
Ang, A., 193, 200–1
ARCH models, 123, 152–3
Asian financial crisis, 1997, 196, 199
Autoregressive Moving Average (ARMA)
models, 3
Backtests, 84–5
results for reversal strategies, 87–9
Baillie, R., 152
Banz, R. W., 199
Barberis, N., 5, 180
Bauwens, L., 118, 155
Bayes, T., 40
Bayes’ theorem, 41, 109
Bayesian
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