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Index

adjusted R2
adjustment parameters
arbitrage
Asian options
autocorrelation
coefcients
in cross-sectional data
function (acf)
in volatility
autocovariances
autoregressive (AR) model
autoregressive conditional duration (ACD)
autoregressive conditional heteroscedasticity
(ARCH) models
autoregressive distributed lag (ADL) models
autoregressive integrated moving average
(ARIMA) models
autoregressive moving average (ARMA) models
autoregressive volatility (ARV) models
backshift operator see lag operator
balanced panel
banking competition
Bayes theorem
BDS test
BEKK model
BeraJarque test
best linear unbiased estimators (BLUE)
between estimator
BHHH algorithm
biased estimator
bicorrelation test
bidask spread
bispectrum test
bivariate regression
block signicance tests
bootstrapping
BoxJenkins approach
BoxPierce Q-statistic
BreuschGodfrey test
broken trend
buy-and-hold abnormal return (BHAR)

calendar effects
capital asset pricing model (CAPM)
capital market line
Carhart model
causality tests
censored dependent variable
central limit theorem
central tendency
chaos theory
characteristic equation
chi-squared distribution
Chow test
classical linear regression model (CLRM)
CLRM assumptions
violations of
CochraneOrcutt procedure
coefcient estimators
standard errors of
cointegrating regressions
DurbinWatson (CRDW) statistic
cointegrating vector
cointegration
tests
commodity prices
common factor restrictions
conditional covariance
conditional expectations
conditional kurtosis
conditional skewness
conditional variance
conditional variance-in-mean
conrmatory data analysis
consistency
constant term
contemporaneous terms
continuously compounded returns
convergence criterion
copulas
correlation
implied
matrix
positive denite matrix

Index

correlation coefcient
correlogram see autocorrelation function
cost of carry (coc) model
covariance stationary process see weakly stationary
process
covered interest parity (CIP)
credit rating
critical values
cross-equation restrictions
cross-sectional regression
cross-sectional variability
cumulative abnormal return (CAR)
cumulative normal distribution
CUSUM and CUSUMSQ tests
daily range estimators
daily volatility estimate
damped sine wave
data
cross-sectional
macroeconomic
panel
qualitative/quantitative
time series
transformed
data frequencies
data generating process (DGP)
data mining
data revisions
data snooping see data mining
day-of-the-week effect
degree of uncertainty
degrees of freedom
degrees of persistence
dependent/independent variable
inertia of
deterministic trend
DickeyFuller (DF) test
augmented (ADF)
critical values
differencing
differentiation
discrete choice see multiple choice
distributed lag models
disturbance term
double logarithmic form
dummy variables
dummy variable trap
DurbinWatson test
dynamic conditional correlation (DCC) model
dynamic models
econometric model
construction

711

evaluation
efcient estimator
efcient frontier
efcient market hypothesis
eigenvalues
eigenvectors
elasticities
empirical research project
choice of software
choice of topic
data for
forms of
originality
outline
purpose
results
structure
encompassing principle
encompassing regressions
EngleGranger test
EngleNg test
equilibrium correction model see error correction
model
error correction model
error term
variance of
errors-in-variables see measurement error
estimation techniques
full information maximum likelihood (FIML)
indirect least squares (ILS)
instrumental variable (IV)
two-stage least squares (SLS)
estimators
event study
biased/unbiased
standard error
EViews
ARCH effects
ARCH estimation
ARMA models
autocorrelation function
BDS test
BeraJarque test
BreuschGodfrey test
CAPM regression
Chow test
cointegration
date format
dummy variables
dummy variables for seasonality
DurbinWatson statistic
EGARCH model
exponential smoothing
forecasting

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Index

forecasting from GARCH


GJR model
GARCH estimation
GARCH-M estimation
Granger causality tests
hedge ratio estimation
heteroscedasticity testing
information criteria
Johansen test
LjungBox test
MGARCH estimation
multicollinearity
NeweyWest procedure
RESET test
returns on shares
simultaneous equations models
transformation of series
unit root test
VAR estimation
VaR estimation using bootstrapping
variance decomposition
Wald test
Whites test
exchange rate
exogeneity
expectations hypothesis
explained sum of squares (ESS)
exponent
exponential growth model
exponential regression model
exponential smoothing
exponential weighting
exponentially weighted moving average (EWMA)
models
extreme value theory
F -test
factor loadings
FamaFrench approach
FamaMacBeth procedure
nancial data
nancial modelling
returns in
nancial options
tted value
xed effects
forcing variable
forecast accuracy
forecast encompassing
forecast error
forecasting
autoregressive process
ARMA models
in-sample/out-of-sample

moving average process


one-step-ahead/multi-step-ahead
structural
time series
forward rate unbiasedness (FRU)
fractionally integrated models
functional form misspecication of see RESET
test
GJR model
generalised autoregressive conditional
heteroscedasticity (GARCH) models
exponential (EGARCH)
factor
integrated (IGARCH)
in-mean (GARCH-M)
orthogonal
geometric mean
inverse of a matrix
generalised error distribution (GED)
general-to-specic methodology
generalised least squares (GLS)
generalised unrestricted model (GUM)
giltequity yield ratio (GEYR)
GoldfeldQuandt test for heteroscedasticity
goodness of t
Granger representation theorem
Hadamard product
Hamiltons lter
Hausman test
Heckman procedure
hedge ratios
hedonic pricing models
heteroscedasticity
conditional
historical covariance
homoscedasticity
hypothesis testing
condence interval
error classication
Lagrange multiplier (LM) test
likelihood ratio (LR) test
signicance level
test of signicance approach
under maximum likelihood
Wald test
identication
order condition
rank condition
implied covariance
implied volatility models
impulse responses

Index

independence of irrelevant alternatives


information criteria
adjusted R2
Akaikes (AIC)
HannanQuinn (HQIC)
Schwartzs Bayesian (SBIC)
intercept
interest rates
term structure of
invertibility
Jensens alpha
Johansen test
jumps
KPSS test
kurtosis
lag lengths
lag operator
lagged regressors
lagged value
Lagrange multiplier (LM) test
lags number of
large sample property
laws of logs
lead-lag relationships
least squares dummy variables (LSDV)
leptokurtosis
leverage effects
likelihood function
likelihood ratio (LR) test
LIMDEP
linear models
linear probability model
linearity
LjungBox test
log-likelihood function (LLF)
log-return formulation
logit model
comparison with probit
estimation of
measuring goodness of t
parameter interpretation
long-memory models
long-run static solution
loss function see residual sum of squares
Lyapunov exponent
macroeconomic indicators
marginal distribution
marginal effects
market microstructure
market reaction

713

market returns
market risk premium
market timing
Markov switching regime
Marquardt algorithm
matrices
eigenvalues of
matrix notation
maximum likelihood
measurement error
median
minimum capital risk requirement (MCRR) see
value-at-risk
misspecication error
misspecication tests
misspecied dynamics
mode
model construction
model interpretation
moving average process
multicollinearity
near
perfect
multimodalities
multinomial logit
multinomial probit
multiple choice
multiple linear regression
multivariate GARCH models
neural network models
NeweyWest estimator
news impact curves
NewtonRaphson procedure
non-linear least squares (NLS) procedure
non-linear models
non-linear restrictions
nominal series
non-negativity
non-nested models
non-normality
non-stationarity
deterministic
random walk with drift
stochastic
testing for
trend-stationary process
unit root
observation frequencies
observations
daily closing
number of
optimal portfolio

714

Index

options price
order of integration
ordered response variable
ordered logit
ordered probit
ordinal scale
ordinary least squares (OLS)
coefcient estimator
intercept
multiple regression
slope
standard error estimator
time series regression
out-of-sample
outliers
overtting
overreaction effect
oversized tests
p-value see hypothesis testing: signicance level
panel data analysis
panel cointegration
panel unit root test
parameters
estimations
stability tests
parsimonious encompassing
parsimonious model
partial autocorrelation function (pacf)
partial regression coefcient
pecking order hypothesis
penalty term
period effects see time xed effects
piecewise linear model
PhillipsPerron tests
pooled sample
population
coefcient
disturbances
population regression function (PRF)
population values
portfolio theory
portmanteau tests
position risk requirement see value-at-risk
powers
prediction see forecasting
predictive failure test
precision
price deator
principal components analysis (PCA)
probabilities
probability density function (pdf)
probability distribution
probit model

comparison with logit


estimation of
measuring goodness of t
parameter interpretation
property returns
pseudo R2
pseudo-random numbers
purchasing power parity (PPP)
qualitative variables see dummy variables
Quandt likelihood ratio test
quantile
quantile regression
quasi-demeaned data see random effects
quasi-maximum likelihood (QML)
R2
R-bar2
random draws
random effects
random number generation
random number re-usage
random walk
rank (of a matrix)
ratings
announcements
rational expectations
real series
reality check test
recursive forecasting model
recursive least squares
redundant xed effects test
regime switching
regression analysis
rejection region
relationship between variables
renormalisation
re-sampling
from data
from residuals
RESET test
residual diagnostics
residual sum of squares (RSS)
residual term
restricted/unrestricted model
restricted/unrestricted regressions
restrictions number of
risk management
risk measurement
risk premium
riskreturn relationship
riskless arbitrage opportunities
rolling window

Index

sample
sample regression function (SRF)
sample selection bias
sample size
sampling error
scatter plot
seasonal unit root
seasonality
second moment models
seemingly unrelated regression (SUR)
self-selection bias see sample selection bias
semi-interquartile range
sensitive dependence on initial conditions (SDIC)
Sharpe ratio
shocks
short-selling
shufe diagnostic
sigma notation
signicance level
sign predictions
sign and size bias tests
simple bivariate regression model
simple returns
simulation experiments
disadvantages
simulation methods
Monte Carlo
simultaneous equations
size of test see signicance level
skewness
slippage time
slope
small sample problems
sovereign credit ratings
sovereign yield spreads
spatial lag
specic-to-general modelling
spline techniques
spot/futures markets
spot return forecasts
spurious regressions
squared daily returns
squared residuals
stable distributions
standard deviations
standard errors
stationarity
difference
stochastic
testing for
weak
statistical decision rule
statistical inference
stochastic regressors

stochastic trend model


stochastic volatility (SV) model
stock index
futures markets
log of
stock return
predictability
strictly stationary process
structural break
structural change
structural equations
structural models
Students t distribution
switching models
switching portfolio
t-test
t-ratio
Theils U-statistic
threshold autoregressive (TAR) models
self-exciting (SETAR)
smooth transition (STAR)
tick size
limits
time xed effects
time series models
univariate
time series regressions
time-varying covariances
time-varying stock market risk premiums
tobit regression
total sum of squares (TSS)
trading rules
trading strategies
transaction costs
transition probabilities
truncated dependent variable
unbalanced panel
unbiasedness
unconditional density model
uncovered interest parity (UIP)
uniform distribution
unit root process
unit roots testing for
unparameterised seasonality
value-at-risk (VaR)
Monte Carlo approach
variables
binary choice
dummy
exogenous
explanatory

715

716

Index

irrelevant
macroeconomic
omission of
ordering of
random
slope dummy
state-determining
variancecovariance matrix
conditional
variance decompositions
variance forecasts
variance operator
variance reduction techniques
antithetic variate
control variates
quasi-random sequences
VECH model
diagonal
vector autoregressive (VAR) models
vector autoregressive moving average (VARMA)
models
vector error correction model (VECM)

vector moving average (VMA) model


volatility
asymmetries in
clustering
feedback hypothesis
forecasting
historical
implied
response to shocks
Wald test
weakly stationary process
weighted least squares (WLS)
white noise process
error term
Whites correction
Whites test
within transformation
Wolds decomposition theorem
yield curves
YuleWalker equations