INTRODUCTORY CONCEPTS AND DEFINITIONS
Review of Basic Statistics
What Is Statistics?
Characterizing Data
Measures of Central Tendency
Measures of Variability
Higher Moments
Summarizing Distributions
Bivariate Data
Three Variables
Two-Way Tables
Stock Price Series and Rates of Return
Introduction
Sharpe Ratio
Value-at-Risk
Distributions for RORs
Several Stocks and Their Rates of Return
Introduction
Review of Covariance and Correlation
Two Stocks
Three Stocks
m Stocks
REGRESSION
Simple Linear Regression; CAPM and Beta
Introduction
Simple Linear Regression
Estimation
Inference Concerning the Slope
Testing Equality of Slopes of Two Lines through the Origin
Linear Parametric Functions
Variances Dependent upon X
A Financial Application: CAPM and "Beta"
Slope and Intercept
Multiple Regression and Market Models
Multiple Regression Models
Market Models
Models with Both Numerical and Dummy Explanatory Variables
Model Building
PORTFOLIO ANALYSIS
Mean-Variance Portfolio Analysis
Introduction
Two Stocks
Three Stocks
m Stocks
m Stocks and a Risk-Free Asset
Value-at-Risk
Selling Short
Market Models and Beta
Utility-Based Portfolio Analysis
Introduction
Single-Criterion Analysis
TIME SERIES ANALYSIS
Introduction to Time Series Analysis
Introduction
Control Charts
Moving Averages
Need for Modeling
Trend, Seasonality, and Randomness
Models with Lagged Variables
Moving-Average Models
Identification of ARIMA Models
Seasonal Data
Dynamic Regression Models
Simultaneous Equations Models
Regime Switching Models
Introduction
Bull and Bear Markets
Appendix A: Vectors and Matrices
Appendix B: Normal Distributions
Appendix C: Lagrange Multipliers
Appendix D: Abbreviations and Symbols
Index