ECON90033 Quantitative Analysis of Finance I
Lecture 10 - Cointegration and VECM
Barry Rafferty
Semester 2, 2015
1 / 48
Lecture overview
Review of cointegration and the EngleGranger test
Yield curve e
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
Semester 1, 2014 Final Exam - Monday 16 June 2014
(SOLUTIONS)
Reading Time: 15 minutes.
Writing Time:
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
TRIAL TEST 1
Reading Time: 15 minutes.
Writing Time: 1 hour.
This examination paper has 6 pages.
This
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
TRIAL TEST 3
Reading Time: 15 minutes.
Writing Time: 1 hour.
This examination paper has 6 pages.
This
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
TRIAL TEST 2
Total Time: 1 hour 15 minutes.
This examination paper has 9 pages.
This examination paper
ECON90033: Quantitative Analysis of Finance 1
TRIAL TEST 2
SOLUTIONS
Question 1 [ 30 marks ]
An analyst for a Superannuation fund is studying the returns from a
portfolio of shares in the Retail secto
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
TRIAL TEST 1
SOLUTIONS
Reading Time: 15 minutes.
Writing Time: 1 hour.
This examination paper has 6 pa
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
TRIAL TEST 3
SOLUTIONS
Reading Time: 15 minutes.
Writing Time: 1 hour.
This examination paper has 6 pa
Question 1
(a)
We get a set of simultaneous equations with regard to w1 and w2:
(b)
Descriptive statistics for stock 1 returns
14
Series: R_CWN
Sample 6/10/2011 8/23/2013
Observations 115
12
10
Mean
M
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
Semester 1, 2014 Final Exam - Monday 16 June 2014
Reading Time: 15 minutes.
Writing Time: 3 hours.
Thi
ECON90033 Quantitative Analysis of Finance I
Lecture 3 - Dynamics in the Mean: ARMA Models
Barry Rafferty
Semester 2, 2015
1 / 63
Lecture overview
Lecture objectives:
Show how to model the determinist
ECON90033 Quantitative Analysis of Finance I
Lecture 9 - Introduction to Cointegration
Barry Rafferty
Semester 2, 2015
1 / 47
Lecture overview
Introduction to cointegration:
Introduction to multivaria
ECON90033 Quantitative Analysis of Finance I
Lecture 2 - Linear Regression in Finance
Barry Rafferty
Semester 2, 2015
1 / 70
Linear regression in finance
Lecture objectives:
Introduce linear regressio
ECON90033 Quantitative Analysis of Finance I
Lecture 7 - VAR Models (1): Concept and Specification
Barry Rafferty
Semester 2, 2015
1 / 46
Lecture overview
So far we have looked at univariate models:
M
ECON90033 Quantitative Analysis of Finance I
Lecture 4 - Stationarity and Unit Root Testing
Barry Rafferty
Semester 2, 2015
1 / 48
Lecture overview
Lecture objectives:
Review concept of stationarity:
ECON90033 Quantitative Analysis of Finance I
Lecture 6 - Volatility Modelling: GARCH Models
Barry Rafferty
Semester 2, 2015
1 / 55
Mid-semester exam
Will be held in class on Tuesday September 8
Readin
ECON90033 Quantitative Analysis of Finance I
Lecture 1 - Properties of Financial Data
Barry Rafferty
Semester 2, 2015
1 / 43
Course information
Coordinator: Barry Rafferty
Prerequisite:
ECON20003 Quan
ECON90033 Quantitative Analysis of Finance I
Lecture 8 - VAR Models (2): Interpretation
Barry Rafferty
Semester 2, 2015
1 / 40
Lecture overview
Interpretation of a VAR system:
Impulse Response Analysi