Index

_

__init__() (frds.algorithms.GARCHModel method) (frds.algorithms.GARCHModel_CCC method) (frds.algorithms.GARCHModel_DCC method) (frds.algorithms.GJRGARCHModel method) (frds.algorithms.GJRGARCHModel_DCC method) (frds.measures.AbsorptionRatio method) (frds.measures.ContingentClaimAnalysis method) (frds.measures.DistressInsurancePremium method) (frds.measures.LernerIndex method) (frds.measures.LongRunMarginalExpectedShortfall method) (frds.measures.MarginalExpectedShortfall method) (frds.measures.PIN method) (frds.measures.SRISK method) (frds.measures.SystemicExpectedShortfall method)

A

AbsorptionRatio (class in frds.measures)

asset_covariance (frds.measures.AbsorptionRatio property)

B

backcast() (frds.algorithms.GARCHModel static method) (frds.algorithms.GJRGARCHModel static method)

blsprice() (in module frds.measures) bounds_check() (frds.algorithms.GARCHModel static method) (frds.algorithms.GJRGARCHModel static method)

C

compute_variance() (frds.algorithms.GARCHModel static method) (frds.algorithms.GJRGARCHModel static method)

conditional_correlations() (frds.algorithms.GARCHModel_DCC method) ContingentClaimAnalysis (class in frds.measures)

D

DGGW_ask_side_slope_difference() (in module frds.measures.lob_slope) DGGW_ask_slope() (in module frds.measures.lob_slope) DGGW_bid_side_slope_difference() (in module frds.measures.lob_slope)

DGGW_bid_slope() (in module frds.measures.lob_slope) DGGW_scaled_depth_difference() (in module frds.measures.lob_slope) DistressInsurancePremium (class in frds.measures)

E

effective_spread() (in module frds.measures.spread) eigvals (frds.measures.AbsorptionRatio property) estimate() (frds.measures.AbsorptionRatio method) (frds.measures.ContingentClaimAnalysis static method) (frds.measures.DistressInsurancePremium method) (frds.measures.LongRunMarginalExpectedShortfall method) (frds.measures.MarginalExpectedShortfall method) (frds.measures.PIN method) (frds.measures.SRISK method) (frds.measures.SystemicExpectedShortfall method)

ewma() (frds.algorithms.GARCHModel static method) (frds.algorithms.GJRGARCHModel static method)

F

fit() (frds.algorithms.GARCHModel method) (frds.algorithms.GARCHModel_CCC method) (frds.algorithms.GARCHModel_DCC method) (frds.algorithms.GJRGARCHModel method) (frds.algorithms.GJRGARCHModel_DCC method) forecast_variance() (frds.algorithms.GJRGARCHModel static method) frds.algorithms module frds.datasets module

frds.measures module frds.measures.lob_slope module frds.measures.price_impact module frds.measures.spread module

G

GARCHModel (class in frds.algorithms) GARCHModel_CCC (class in frds.algorithms) GARCHModel_DCC (class in frds.algorithms)

GJRGARCHModel (class in frds.algorithms) GJRGARCHModel_DCC (class in frds.algorithms) GN2019_slope() (in module frds.measures.lob_slope)

H

HS2001_log_quote_slope() (in module frds.measures.lob_slope)

HS2001_quote_slope() (in module frds.measures.lob_slope)

I

init_params_grid_search() (frds.measures.PIN method)

K

kyle_lambda() (in module frds.measures)

L

LernerIndex (class in frds.measures) loglikelihood() (frds.algorithms.GARCHModel static method) (frds.algorithms.GARCHModel_CCC method) (frds.algorithms.GJRGARCHModel static method) loglikelihood_EHO2010() (frds.measures.PIN method) loglikelihood_LK2011() (frds.measures.PIN method)

loglikelihood_model() (frds.algorithms.GARCHModel method) (frds.algorithms.GARCHModel_CCC method) (frds.algorithms.GARCHModel_DCC method) (frds.algorithms.GJRGARCHModel method) LongRunMarginalExpectedShortfall (class in frds.measures) LRMES (in module frds.measures)

M

MarginalExpectedShortfall (class in frds.measures) module frds.algorithms frds.datasets frds.measures frds.measures.lob_slope frds.measures.price_impact frds.measures.spread

N

NS2006_ask_slope() (in module frds.measures.lob_slope)

NS2006_bid_slope() (in module frds.measures.lob_slope)

P

Parameters (class in frds.algorithms.GARCHModel) (class in frds.algorithms.GARCHModel_CCC) (class in frds.algorithms.GARCHModel_DCC) (class in frds.algorithms.GJRGARCHModel) (class in frds.algorithms.GJRGARCHModel_DCC) (class in frds.measures.PIN)

PIN (class in frds.measures) preparation() (frds.algorithms.GARCHModel method) (frds.algorithms.GJRGARCHModel method)

Q

quoted_spread() (in module frds.measures.spread)

R

realized_spread() (in module frds.measures.spread)

S

simple_price_impact() (in module frds.measures.price_impact) simulation() (frds.measures.LongRunMarginalExpectedShortfall method) SRISK (class in frds.measures)

starting_values() (frds.algorithms.GARCHModel method) (frds.algorithms.GARCHModel_DCC method) (frds.algorithms.GJRGARCHModel method) SystemicExpectedShortfall (class in frds.measures)

V

variance_bounds() (frds.algorithms.GARCHModel static method) (frds.algorithms.GJRGARCHModel static method)

Z

z_score() (in module frds.measures)