June 2008
Beginner
428 pages
15h 29m
English
Content preview from Market Risk Analysis Volume II: Practical Financial EconometricsBecome an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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Index
ACD (autoregressive conditional duration) 303, 332–3, 338
Active fund management 31, 36, 45
Active return 2, 28, 31–4, 36–43, 45
Active weights, definition of 33
ACTIVOPS (optimizer) 28
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
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
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
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