exam_mock_2017.pdf - Introduction to Financial Econometrics...

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Introduction to Financial Econometrics Mock Exam November 2017 Please answer to all questions Allowed time 90 minutes 1. Please describe (a) the general purpose of the programme mock201712.R and (b) the successive steps that are taken in its implementation ( 6 points ) 2. How is portfolio 15 constructed ? ( 1 point ) 3. Generate a crossplot of the ret15 and retmkt and add to the plot the linear interpolant. Can you deduct the CAPM beta from such an interpolant ? ( 3 points ) 4. Suppose to have invested 1 dollar in portfolio 15 and in the market at the beginning of 1956. Can you give an indication for the total compensation for risk that it has been earned by investing in these two portfolios over the period 1956-2000 ? ( 3 points ) 5. What does the command "seasplot" do and how do you interpret the results obtained by running it on ret15 and retmkt ? (
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  • Spring '10
  • C.Favero

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