tute-wk04

# tute-wk04 - Week 04: Tutorial Questions Question 0:...

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Week 04: Tutorial Questions Question 0: Continue with the exercise on “rank correlation coeﬃcient” in last week’s tutorial, if you have not ﬁnished it. Question 1: The Excel ﬁle “SG.xls” contains daily returns of Thailand stock index and daily returns of Singapore stock index. Let R ( T ) denote the daily return of Thailand stock index and R ( S ) denote the daily return of Singapore stock index. Use the “frequency approach to the computation of probability” to answer the following questions (Hint: you may consider using Excel ’s “Data AutoFilter” tool). 1.1 What is the probability that R ( T ) is negative? (i.e. P { R ( T ) < 0 } ). 1.2 What is the probability that R ( S ) is negative? 1.3 When R ( T ) is negative, what is the probability that R ( S ) is also negative? 1.4 What is the probability that R ( T ) is below its average daily return by at least 2 standard deviations? 1.5

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## tute-wk04 - Week 04: Tutorial Questions Question 0:...

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