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Analysis of Financial Time Series, Third Edition by RUEY S. TSAY

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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 ...

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