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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 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 [ 100 ] 101 102 103 |