Econometrics Final Project
Study of Coffee Production
December 2, 2010
Econometrics Final Project
Introduction:
More than 2.25 billion cups of coffee are consumed worldwide everyday. Americans
consume about 1/5 of all the coffee produced in the world, how
Bus 41202: Analysis of Financial Time Series
Spring 2016, Ruey S. Tsay
Lecture 1: Introduction
Financial time series (FTS) analysis is concerned with theory and
practice of asset valuation over time.
Comparison with other T.S. analysis: what are the simil
Case Study-KBS Alternative Investment Management: Convertible Bond Arbitrage
7. Are the out-of-the money puts a cheaper form of default protection than the CDS?
A credit derivative is a contract that provides a bondholder (lender) with protection against
Case Studies
1. KBC Alternative Investment Management: Convertible Bond Arbitrage
Due: in the week starting March 27, 2017
1. How many shares does Mark need to short to establish his delta-neutral position? In what
direction will he have to adjust his sho
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Case Study-KBS Alternative Investment Management: Convertible Bond Arbitrage
Shilin Li, Fan Wu, Quan Liu, Junhan Shi
1. How many shares does Mark need to short to establish his delta-neutral position? In what
direction will he have to adjust his short equ
Multiple Choice Questions
1. Conventional theories presume that investors _ and behavioral finance presumes that they
_.
A) are irrational; are irrational
B) are rational; may not be rational
C) are rational; are rational
D) may not be rational; may not b
Multiple Choice Questions
1. Which one of the following stock index futures has a multiplier of $250 times the index value?
A) Russell 2000
B) S&P 500 Index
C) Nikkei
D) DAX-30
E) NASDAQ 100
Answer: B Difficulty: Easy
Rationale: The multiplier is used to
Multiple Choice Questions
1. If you believe in the _ form of the EMH, you believe that stock prices reflect all relevant
information including historical stock prices and current public information about the firm, but not
information that is available onl
1. Trading activity by mutual funds just prior to quarterly reporting dates is known as
A) insider trading.
B) program trading.
C) passive security selection.
D) window dressing.
E) none of the above.
Answer: D Difficulty: Moderate
Rationale: Mutual funds
Lecture Notes of Bus 41202 (Spring 2011)
Analysis of Financial Time Series
Ruey S. Tsay
Simple AR models: (Regression with lagged variables.)
Motivating example: The growth rate of U.S. quarterly real
GNP from 1947 to 1991. Recall that the model discussed
Lecture Note of Bus 41202, Spring 2011:
Univariate Volatility Models. Mr. Ruey Tsay
Conditional Heteroscedastic Models
What is asset volatility?
Answer: conditional standard deviation of the asset returns
Why is volatility important?
Has many important ap
Chapter 13
Simulation Methods
Introductory Econometrics for Finance Chris Brooks 2013
1
Simulation Methods in Econometrics and Finance
The Monte Carlo Method
This technique is often used in econometrics when the properties of a particular
estimation metho
Chapter 14
Conducting empirical research or doing
a project or dissertation in finance
Introductory Econometrics for Finance Chris Brooks 2013
1
Why do an empirical project?
Conducting empirical research is one of the best ways to get to grips with the
te
Chapter 11
Panel Data
Introductory Econometrics for Finance Chris Brooks 2013
1
The Nature of Panel Data
Panel data, also known as longitudinal data, have both time series and crosssectional dimensions.
They arise when we measure the same collection of pe
Chapter 7
Multivariate models
Introductory Econometrics for Finance Chris Brooks 2013
1
Simultaneous Equations Models
All the models we have looked at thus far have been single equations models of the
form
y = X + u
All of the variables contained in the
Chapter 5
Classical linear regression model assumptions
and diagnostics
Introductory Econometrics for Finance Chris Brooks 2013
1
Violation of the Assumptions of the CLRM
Recall that we assumed of the CLRM disturbance terms:
1. E(ut) = 0
2. Var(ut) = 2 <
Chapter 6
Univariate time series modelling and
forecasting
Introductory Econometrics for Finance Chris Brooks 2013
1
Univariate Time Series Models
Where we attempt to predict returns using only information contained in their
past values.
Some Notation and
Chapter 8
Modelling long-run relationship in finance
Introductory Econometrics for Finance Chris Brooks 2013
1
Stationarity and Unit Root Testing
Why do we need to test for Non-Stationarity?
The stationarity or otherwise of a series can strongly influence
FIN 5309 - Estimation Methods - Part I
Regression Analysis Homework
Guillaume Weisang
Clark University
[email protected]
Fall 2014
The Beta of a Stock :
A fundamental idea of modern finance is that an investor needs a financial incentive to take a
risk
Lecture Note: Analysis of Financial Time Series
Spring 2011, Ruey S. Tsay
Seasonal Time Series: TS with periodic patterns and useful in
predicting quarterly earnings
pricing weather-related derivatives
analysis of transactions data (high-frequency data
1. Trading activity by mutual funds just prior to quarterly reporting dates is known as
A) insider trading.
B) program trading.
C) passive security selection.
D) window dressing.
E) none of the above.
Answer: D Difficulty: Moderate
Rationale: Mutual funds