sample selection biases synthetic convertible bonds, 391

tail thickness, IКО tax clientele, 405 lax-adjusted spline model ol the

term structure, 412 technical analysis, 43. See alio

Random Walk 2 model temporary shock, 65. .Sec also unit

root process lent map, 474,476, 525 term premia, 418

term structure of implied volatility, 463

lenn .strucliirc of interest rates, 307. .SVr oho yield curve, lerm-sli uclure models, expectations hypothesis, ptire expectations hypothesis reintegration, 419 lotucasling interest rales, 418 spline estimation, 410 (ax elfecLs, 411 vector autoregressive (VAR) methods, 422 term-structure models, 427. See also lixLd-incomc derivative securities afliijie-yield models, 428, 441, 445 Cox;, Ingersoll, and Ross model, 436

cross-sectional restrictions, 452 fixed-income derivative securities, 4.55

I lo-ee model, 456, 464. .SVr also

pricing fixed-income derivative

fccurilics homoskedastic single-factor

iiiodel, 429, 452, 457 latelit-variable models, 446 Longstalf-Schwart/. model, 438 i square-root single-factor motlel,

435, 454 stochastic discount factor, 427 two-faclor model, 438 Vasicek model, 434 testing for nonlinear st incline

i it/

Ihock-Declicrt-Schciiikmaii lest, 478

I Isieh test, 475

Tsay lest, 476 Thela, ЗГ,3 threshold, 472

threshold autoregression (TAR), 472 lime aggregation, 94, 129 time inconsistency, 334 lime-nonseparability in the utility

function, 327, 329. See also habit

formation models trace operator, 74

Trades and Quotes (TAQ) database. 107

training a learning network, Г) 1Г . Til8 training path, 519 transactions costs, 3.15 transactions dala, 107, 136 transition density function, 358 Treasiuy securities, 395 STRIPS, 396 Treasury bills, 396 Treasury notes and bonds, 396 when-issued market, 399 /егочонроп yield curve, 397 trend-stalionary process, 65, .372. See

also unit root process trending Oi nslein-Uhlcnbeck

process, 371 Tsay test of nonlineaiity, 476 two-factor term-structure model, 438 two-stage least squares (2S1.S) estimation, 530 variance-covariance matrix, 5.31 lognormal asset pricing model with power utility, 312

unit root process, 64, 257 г, ! term structure of interest rates, / 419

volatility process, 484 volatility tests, 277 universal approximation properly, 515

VAR methods. .SVr vector autoregressive methods

vai iance, 15, 17 variance-bounds tests, 277 vat iance difference. .SVr variance ratio

variance inequality. 271) variance ratio, 48, 08

long-horizon regressions, 272

Random Walk I model. 49

Random Walk 3 model, 53 variance-bounds lesls, 277 variance-reduction techniques, 387 Vasicek model, 434 VECH model, 491 vech operator, 490 vector autoregi cssive (VAR) methods

niullipcriod lorccasts, 280

picsent-valtie relations, 279

price volatility, 280

( turn volatility, 284 Sega. 553 volatility

dclcrmiuixtic, 379

historical, 378

implied. 377

stochastic, 378, 380, 489, 493 \olatilily estimation. .SVr ARCII models, GARCl i models, siochastit--volatility models volatility feedback. 497

volatility smiles, 512 volatility tests, 275

linile-sample considerations, 278

Marsh anil Menon model, 277

ot tbogouably lesls, 270

unit tools, 277

vatiattcc-bouuds tests, 277 Voltci la set ies, 47 I

Wald lest, 192. 281, 539 weight function, 500 weighting matrix

(.MM estimation, 532, 534

IV estimation. 528. 530 white noise. 340 White specification lest, 539 Wiener process, 344. See also

arithmetic hiowniau motion wild card option. 459 Wishatl distribution, 192 Wold Representation Theorem, 408

yield < tirve, 397. 132. 438, 440. .SVr also term structure of interest tales

yield spiead, 397. 418 yield lo maturity. 397, 101

zcio-bcia asset. 294

zet o-roupon bonds. 390