Market Risk Analysis Volume II: Practical Financial Econometrics

Index

ACD (autoregressive conditional duration) 303, 332–3, 338

Active fund management 31, 36, 45

Active fund managers 31, 42–3

Active return 2, 28, 31–4, 36–43, 45

Active risk 2, 31–2, 40–5

Active weights, definition of 33

ACTIVOPS (optimizer) 28

ADF(1) test 219–20

AFBA Five Star Large Cap fund 21

A-GARCH model 148–50, 159, 162, 167, 196

see also Asymmetric GARCH

AIC (Akaike information criterion) 283, 345, 361

Akaike information criterion (AIC) 283, 345, 361

Alan Greenspan's policies 112

All Share index 28–9

Alpha models 365

Amex and Cisco stocks 8

Annual volatility 5, 69, 81, 91, 183

Annualizing factor 91, 100, 143, 149

Applications to stress testing 74–6

ARCH (autoregressive conditional heteroscedasticity) 4, 7, 131, 135

ARMA (autoregressive moving average) 205–10, 214, 251, 337

Ask price 331

Asset-liability management 72, 86

Asset managers 3–4, 6, 10, 81, 86

Asymmetric GARCH 131, 133, 145–56, 163, 179, 180–3, 185, 196, 347, 366

categorization of models 147–54

analytic term structure formulae 149–50, 154–6

simulation 180–3

Asymmetric response function 151, 153

Asymmetric tail dependence 254, 264–6, 268, 271–2, 291, 298–9

Asymmetric volatility 133, 148, 166, 182–3

Autocorrelation 92–3, 129, 201, 203, 209, 212, 216, 218, 219, 224, 233, 236, 248, 343, 348, 352, 361

Autocorrelation functions 209, 343, 348, 352, 361

Autoregressive conditional duration (ACD) 303, 332–3, 338

Autoregressive conditional heteroscedasticity (ARCH) 4, 7, 131, 135

Autoregressive (AR) model 136, 203–4, ...