Промышленный лизинг Промышленный лизинг  Методички 

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t\tttii<n ii 1,c.X

Ма1ц-:чц -. (71 Malkiel, 20

Mandelliml, 17, il, :V.I. 02. 03, <ifi. 47i

Mankiw, l... .lid

Mankiw. N. <;., IS. I!l. 278, 289, 314, :U7. чIK. 320. 320, 447. 122. 12:.

Manne. 178

Mark. 271, 4(1 i. :((l

Markowuz, LSI

Marsh, 121, 123-125. i 14.277.278.

280 Mars, I 1(1 Mason. А., 110 Mason, S.. Г.07 M.uililon, 3SK Mayers, 211 Met ialliim. 425 MeCiillat-li, 12:1

Met aillorh, ., .407. 1 1(1. II I. II I.

115. 117. 120, l.M. 15:1 McCtilloch. R., 217 MrCulloch. W., 512 McDonald. 20S Mi Queen. I 10 Mech. I.vi

Mchra, 20.1, : )2, :io:i, .407. :t:i2. 334

Mei. 2.(7

Melino, зон. :ii7, :i0(i, iho, wo

Mendelsim, 104. 0, 07, .410 Merlon, (i, h, IS i. 210. 221. 277, 278.

2K0. .415, .41K, .422. .440, .410, .4 10.

.410-451, 451. .405. .492, 1X1.507.

510 Merville, .409 Mil ( heli, 51 7 Mikkelson, 179 Milmm, lul-lll.4. 11)7 Millei, ii.. 7 Millet. M.. i III, 5119 Millei, K.. 17, 107 Milne, 104 Miion. 124 Mishkiu, 12 I Mitchell. I 19. 179 Modesi. 92. 240. 24K. 210. 211. .415.

.410

Modiydiani, I IK Monahan, 5:15 Monro, 515 Mood. 40. II Moodv. 510 i,

Morreanslcrii. 17, 05 Morrison, 235, 24K Morse, 175

Morion, 155, 157, I5K. Kit Mossin, II Muirhead. 192, 194 Mullet. 172 Mullins. 171. 179 Musiinteci, 107 Mtttlt.50 Myers, ., 15(1 Myers, S 179

Naik, -152, 155 Neltei, II

Nelson, C... 79, 271,414, 114 Nelson. П., 4KI,481, IK I-IKO. ISS.

489. 191 Nelson. \V, 317 Nelier, I 19, 179 Neii(l(( ker, 0

Newey, 55, 140, 200, 270, 535. 540 N(-,.470, 381,485, IKO. 191 Niedei holler, 107, 109 Niinalendraii. 107, 145 Norman. .410

Ollrien, 175

Ollara, 44,84.90, 10.4. 107, III) Ohstlrld. 250. 2KK Officer, 17, IKI

< Igaki, .400. 527 Old, 7, 17

< Minnie. 05. 107. 100

Pagan. -IK5 Palmer. 512 Papcll, 171 Iaikinsoii. IKI I.ulih, 170 Iaskov. 4KK Ialaslinik. I II

Author Index

Гаи, II

Pearson, 448, 441 Pennacchi, 445 Perold, 507 Perron, 400, 372, 472 Pesaran, 475 Plleiderer, 90 Phillips, P., 277 Phillips, S., 100 Pierce, 47 Pitts. 512 Platen. 370

Рода . 340, 392, 510, 512, 516, 517,

519, 522 Poison, 490 Port, 7, 346 Porter, 275, 276, 280 Porteus. 319

Poterba. 4K, 49, 7K, 79, 266, 317

Poller, 475

Potilsen, 167, 17K

Powell, 510, 517

Piahhala, 175

Prelec, 334

Pi est oil, 293, 302, 303, 307, 332, 334 Priestley, 470, 471 Procacria, 476-478

Rolfo, 412

Roll, 17, 72, 101-103, 106, 128, 134, 135, 143, 145, 150, 184,213,216, 239, 240, 243, 366

Roma, 379 j

Romano, 47 j

Romcr, 278, 289

Rosenfeld, 121, 123-125, 143

Ross, D., 110

Ross, S 31, 156, 193, 196, 206, 216, 219, 220, 239, 240, 245, 246, Ы, 318, 341, 355, 380, 382. 414, -129, 433, 435, 436, 440, 441, 443, 44, 449, 456, 458, 463, 508, 509

Rossi, 490

Roth, 84

Rothschild, 92, 238, 491 Roy, 55

Rozell, 17 I

Rttback, 179 j

Rubin, 234

Rubinstein, 340, 341, 349, 351, 370.

381,461,507,509

Rudebuscb, 423 Ruiz, 490, 493 Runkle, 423, 486, 488, 497 Ruud,504

Radner, 508 Rady, 507

Ramaswamy, 216, 381, 445, 446, 455

Reatly, 136

Reiidington, 405

Reder, 332

Reinsch. 522

Richard, 295

Richardson, 47-49, 58, 79. 134, 210,

274,422 Riet/, 31(1, 311 Rittet, 156 Robbins, 515 Roberds, 423 Roberts, 22, 30, 65 Robins, 404 Robinson, P., 471 Rugalski, 300 *

Roley, 149

Salandro, 102

Samuelson, 17, 20,23, 30, 256, 321 Sanders, 449 Sayers, 474

Schaefer, 412, 430, 441, 443, 452,455 Scheinkman, 359-361, 392, 470, 475,

478,479 Schipper, 167, 180 Schoenholtz. 408,421.422 Scholes, 85, 88, 177, 211. 339, 350,

351, 354, 356, 367, 462, 510 Schultz., 107 Schuss, 346

Schwartz, E., 429, 438, 439, 441,442,

444,449,455 Schwartz, R.. 84, 85, 88, 104, 107 Schweizer, 379 Schwert, C, 149, 485,497 Sclove, 472



Scott. 276, 379 SEC, 4, IOH Seutana, 497

Slianken, 85, 193, 190, 199, 200, 200, 212, 215-217, 220, 222, 220, 233, 245, 240, 251

Sliaiino, 379

Shapiro,!., 107

Shapiro. M., 278, 289. 317, 320, 422 Sharpe, 14, 155, 150, 181 Shaxtri, 102 Shea. 412

Shephard, 490, 493

Shiller. 255, 257, 258, 201-203, 205, 207, 275, 270, 278, 281, 283, 305, 300, 308, 317, 318, 300, 395-397, 408, 419,421,422,443,445

Shiinko, 370, 577

Slileiler, 248, 249, 317, 333

Sias. 134

Siegel, A., 413

Siegel,J., 311

Sicgnuind, 472

Silvey, 7, 123, 358

Si m ко wit/, 17

Simonds, 85

Sims. 91)

Singer, 348

SinglcliJn, 300, 311,314. 320, 327,

332, a 18, 429 Skelton, 400 Sloan, 2,12, 251 Smidt. Ij07 Smith, A., 23 Smith, (r.. 100 Smith, Ji. 110 Smith, 1.47, 79 Sofiano.i 107 Sushi, ЗЙ5, 391

Stambatlgh, 100, 178,214,215.217, 207, 273, 280, 309, 310, 421, 422, 440, 448, 497

Starks, 134

Start/., 313, 320

Steigenviild, 279

Stewart, 474

Slight/. 15, 24

Stint hcotnbc, 522

Stock, 48, 49,58,79, 274,422

Stoker. 504,505

Stoll, 103-105, 107, 111), 135

Stone, 7, 340

Strang, 0

Stroock, 348

Smart, 7, 17

Stucl/le. 518

Siihba Ran, 472

Snils, 411)

Summers, 48, 49, 78, 79, 200, 205.

200, 317. 333 Sun, 429, 435, 438,441 Suiidaies.ui, M., 92 Siiiidaiesan, S., 320, 327, 330, 390 Snniet, 194 Stitch. 418 Sveusson, 4 13

Tat(u, 03

Taylor, П., 17

Taylor. tVt., 44

Taylor, S., 485

Teriisvirta, 470

Thaler, 212, 333

Thayer, 234

Thisied, 123

Thumbs, 47

Thompson, ., 474

Thompson, R 107, 175. IHI)

Tinic. ЮЗ, 107, 309

Tirole, 259, 200

Titman, 212, 221

Tjosthciin, 470

Toevs, 400

long, 470. 472

Torotts, 107-109, 177, 392

Toy. 442, 455, 457, 404

Trauli. 3.88

Treynor, 44

Tsay,470

Tschoegl. 107-109 Tucker, 17 Tiilimo, 507 Turnhtill. 403. 489, 490 Tversky. 3.33

Iual. 108

van Dcvcniei, 411

Yasicck, 112, 429, 432,434,441.

Vayanos, 310

Vislmy, 218, 249, $33 Yolterra, 17 I

Wahba, 523 W.ildnv.mn. 317, 333 Wallis, J., 59. 03

Wang.J., 92. 99, .371, 373-375. 377 Wang. V. 387. 388 Wang, /... 214,190 Warner, 150. 154, 171, 177 Wasley. 173 Waisou, 259

Weil. Г.. 305, 310. 315, 319, 320 Weil, R., 400 Weinslein, 157

West, 55, 130, 258, 209, 270, 275,

278, 280, 289, 5.35, 530 Whaley, 107 Wheatley, 317

Whilcoinl), 81, 85, 88, 101, 107

While, A., 378-381.101

While. 11., 51. 171.189,512.515.

522. 527. 530. 539 Whitelaw, 131 Whiiemaii, 123 Whiilock, 387 Wichei u. 1 7 Wiener, 318

Wiggins. 378-381, 489. 190 Wilcox, 310

Williams..)., 85, 88, 175, 177

Williams. R., 0

Willig. I 10

Wootlloid. 171. 175

Wootdiidgc, Ш8. 189. 491, 494, 497

Wot king. 05

.V.uii. 331

Zcckhauscr. 200 Zelina. 307 Zeldes, 517 Zhou, (... 217 Zhou. /... 335

/.in, 305. 315. 319. 320, 334, 435. 454. 455. 157. 105




Subject Index

absolute value GARCH model, 485 activation (unction, 513 affme-yield models of the term

structure, 428, 441, 445 aggregate consumption aggregation, 305 Consumption Capital Asset Pricing Model, 316 American option, 349 amplitude-dependent exponential autoregression (EXPAR) models, 470

antipersistenre, 60 antithetic variates method, 388 arbitrage opportunities, 339 state price vector, 295 bond excess returns, 414 Meltons approach to option pricing, 351 arbitrage portfolios, 351 Arbitrage Pricing Theory (APT), 8, 85, 92, 219. See also Capital Asset Pricing Model, multifactor models

exact factor pricing, 221 >

factor risk exposure, 221 pervasive factors, 221 riskfree return, 220 well-diversified market portfolio, 221

ARC :i 1 models, 469, 482. See also GARCH models

option pricing, 381 arithmetic Brownian motion, 32, 344. See also Brownian motion Arrow-Debreti securities, 507 artificial neural network, 512. See also

learning networks Asian options, 382 ask price, 83 asymptotic distribution

GMM estimator, 533

IV estimator, 529

ML estimator, 350, 538 asymptotic order, 343 asymptotically efficient estimator, 358, 530

autocorrelation coefficients, 44, 66, 145

autocorrelation matrices, 75, 76,

131. See also cross-autocorrelation autocovariance coefficients, 45 autocovariance matrices, 74 Autoregressive Conditionally fleteroskedastic models, 469, 482. See also GARCH models average derivative estimators, 505 average rate options, 382, 386

backpropagation, 515 bandwidth, 500

optimal bandwidth selection, barrier models, 121 barrier options, 391



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