Index

D(un) condition

ACD model

exponential

generalized Gamma

threshold

Weibull

Activation function, see Neural network

Airline model

Akaike information criterion (AIC)

Arbitrage

ARCH effect

ARCH model

estimation

t distribution

GED innovation

normal

Arranged autoregression

Augmented DickeyߝFuller test

Autocorrelation function (ACF)

Autocovariance

Autoregressive integrated moving-average (ARIMA) model

Autoregressive model

estimation

forecasting

order

stationarity

Autoregressive moving-average (ARMA) model

forecasting

Back propagation

neural network

Back-shift operator

Bartlett's formula

Bayesian information criterion (BIC)

Bidߝask bounce

Bidߝask spread

Bilinear model

BlackߝScholes

differential equation

BlackߝScholes formula

European call option

European put option

Brownian motion

geometric

standard

Business cycle

Canonical correlation analysis

Characteristic equation

Characteristic root

CHARMA model

Cholesky decomposition

Cointegration

Cointegration test

maximum eigenvalue

trace

Common factor

Common trend

Companion matrix

Compounding

Conditional distribution

Conditional forecast

Conditional heteroscedasticity

HAC covariance estimator

Conditional-likelihood method

Conjugate prior, see Distribution

Correlation

coefficient

constant

time-varying

Cost-of-carry model

Covariance matrix

Cross-correlation matrix

Cross-validation

CVaR

Conditional value at risk

Data

3M stock return

Bank of America stock return

BHP daily price

Cisco stock return

Citi-Group stock return

Civilian employment number

Consumer price index

equal-weighted index

GE stock return

Hewlett-Packard stock return

Hong Kong market index

IBM stock return

IBM transactions

Intel stock return

J.P. Morgan Chase stock return

Japan market index

Johnson & Johnson's earnings

Mark/dollar exchange rate

Microsoft sock return

SP 500 excess return

SP 500 index futures

SP 500 index return

SP 500 spot price

U.S. 3-month Treasury bill rate

U.S. government bond

U.S. interest rate

U.S. monthly unemployment rate

U.S. real GNP

U.S. unemployment rate

Vale daily price

value-weighted index

value-weighted index

Data augmentation

Decomposition model

Descriptive statistics

Diagonal VEC model

DickeyߝFuller test

Differencing 76

seasonal

Distribution

beta

double exponential

Frechet family

gamma

generalized error

generalized extreme value

Generalized gamma

generalized Pareto

inverted chi-squared

Laplacian

multivariate t

multivariate normal

negative binomial

Poisson

posterior

prior

conjugate

skew-Student-t

Weibull

Diurnal pattern

Donsker's theorem

Duration

between trades

model

Durbin-Watson statistic

Dynamic conditional correlation model

EGARCH model

forecasting

Eigenvalue

Eigenvector

EM algorithm

Error correction model

Estimation

extreme value parameter

Exact-likelihood method

Exceedance

Exceeding times

Excess return

Expected shortfall

Extended autocorrelation function

Extremal index

Extreme value theory

Factor analysis

Factor mimicking portfolio

Factor model

common factor

estimation

factor loading

specific factor

Factor rotation

varimax

Filtering

Forecast

horizon

origin

Forecast updating formula

Forecasting

MCMC method

Forward filtering and backward sampling

Fractional differencing

GARCH model

Cholesky decomposition

multivariate

diagonal

time-varying correlation

GARCH-M model

Generalized least squares

Generalized Pareto Distribution

Geometric ergodicity

Gibbs sampling

Global minimum variance portfolio

Griddy Gibbs

Half-life

Hazard function

Hh function

Hill estimator

Hyperparameter

Identifiability

IGARCH model

Implied volatility

Impulse response function

Innovation

Inverted yield curve

Invertibility

Invertible ARMA model

Ito process

Ito's lemma

multivariate

Joint distribution function

Jump diffusion

Kalman filter

Kalman gain

Kernel

bandwidth

Epanechnikov

Gaussian

Kernel regression

Kurtosis

excess

Lag operator

Leadߝlag relationship

Leptokurtic

Leverage effect

Likelihood function

Linear time series

Liquidity

LjungߝBox statistic

multivariate

Local linear regression

Local trend model

Log return

Logit model

Long position

Long-memory

stochastic volatility

time series

Marginal distribution

Market model

Markov process

Markov property

Markov switching model

Martingale difference

Maximum-likelihood estimate

exact

MCMC method

Mean equation

Mean excess function

Mean excess plot

Mean residual life plot

Mean reversion

half-life

Metropolis algorithm

MetropolisߝHasting algorithm

Missing value

Model checking

Moment

of a random variable

Moving-average model

NadarayaߝWatson estimator

Neural network

activation function

feed-forward

skip layer

Neuron, see Neural network

Node, see Neural network

Nonlinearity test

BDS

bispectral

F test

Keenan

RESET

Tar-F

Nonstationarity

unit-root

Nonsynchronous trading

Nuisance parameter

Options

American

at-the-money

European call

in-the-money

out-of-the-money

stock

strike price

Order statistics

Ordered probit model

Orthogonal factor model

Outlier

additive

detection

OX command

garchOxFit

Pairs trading

Parametric bootstrap

Partial autoregressive function (PACF)

PCD model

Peaks over Thresholds

π weight

Pickands estimator

Platykurtic

Poisson process

inhomogeneous

intensity function

Portmanteau test 32, see LjungߝBox statistic

Positive-definite matrix

Prediction

Present value

Principal component analysis

ψ weight

Putߝcall parity

Quantile

definition

R command

ar

exindex

factanal

garchFit

gev

glm

gpd

hill

lowess

meplot

nnet

optim

pot

princomp

qt

quantile

read.table

riskmeasures

ts

R package

R-square

Adjusted

Random coefficient (RCA) model

Random walk

with drift

Realized volatility

Reducedߝform model

Regression

with time series errors

Return level

stress period

RiskMetrics

S-Plus command

archTest

autocorTest

coint

ewma1

garch

mfactor

mgarch

OLS

tslag

VAR

VECM

Sample autocorrelation

Scree plot

Seasonal adjustment

Seasonal model

multiplicative

Shape parameter

of a distribution

Shock

Short position

Simple return

Skewness

Smoothed disturbance

Smoothing

Square root of time rule

Standard Brownian motion

State-space model

nonlinear

Stationarity

weak

Statistical arbitrage

Steady state

Stochastic diffusion equation

Stochastic volatility model

multivariate

Structural equation

Structural form

Structural Time Series

Structural time series model

Student-t distribution

standardized

Survival function

Tail index

TGARCH model

general form

Threshold

Threshold autoregressive model

multivariate

self-exciting

smooth

Threshold cointegration

Time plot

Transactions data

Trend stationary model

Unit-root test

Unit-root time series

Unobserved component model

Value at risk

VaR

econometric approach

homogeneous Poisson process

inhomogeneous Poisson process

RiskMetrics

traditional extreme value

Vector AR model

Vector ARMA model

marginal models

Vector MA model

VIX Volatility Index

Volatility

Volatility equation

Volatility model

factor

Volatility smile

Weighted least squares

White noise

Wiener process

generalized

YuleߝWalker equation

multivariate