Financial Risk Modelling and Portfolio Optimization with R

Index

Note: Figures are indicated by italic page numbers, listings and tables by emboldened numbers, and footnotes by suffix ‘n’.

ACF plots

GARCH(1, 1) models for European data

NYSE exceedance for Boeing losses

Siemens stock returns

ADF, see augmented Dickey–Fuller test

AER package

data set in

Archimedean copulae

advantages

ARCH models

expectations equation

variance equation

ARCH(1) process

ARCH(4) process

ARFIMA models, R packages for

ARIMA models

in protection strategy example

R packages for

ARMA-GARCH models

ARMA models, R packages for

ARMA(p,q) time series process

AR(p) time series process

asymmetric power ARCH (APARCH) models

special cases

augmented Dickey–Fuller (ADF) unit root test

autocorrelation function, see ACF plots

autoregressive conditional heteroscedastic models, see ARCH models

autoregressive moving average, see ARMA

autoregressive process, see AR(p) time series process

average drawdown (AvDD)

average drawdown (AvDD) portfolio

compared with other portfolio asset allocations

drawdown plots

linear program formulation

solution

backtesting

GMV vs CDaR portfolio optimization

minimum-CVaR vs minimum-variance portfolios

minimum-variance portfolio, robust vs classical estimators

MSR portfolio

portfolio simulation for protection strategy

R packages for

backtest package

Basel Accords requirements

bayesGARCH package

Bayesian analysis/estimation

expected returns in BL model

extreme value models

GARCH(1, 1) models

SVAR model

VAR models

BCC portfolio solution

for multi-asset ...