EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND
INVESTMENT 2016
Exam January 2016
Rubric: The exam has three sections. Answer one question from each section.
Quantiles for the Standard Normal and the t-Distribution are attached.
TURN OVER
1
SECTION A
Ques

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Exercise Lecture #3 - The OLS estimator in the Deterministic Trend Model
Exercise 1. Consider the autoregressive model:
yt = 0 + 1 yt1 + ut
(1)
where cfw_ut t is a zero mean white noise process wi

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Problem Set #2 - Answers
Exercise 1. (Review of Concepts) Define the following concepts:
(i) Conditional expectation
(ii) Mean independence
(iii) Conditional variance
Answer: (i) The conditional e

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Exercise Lecture #2 - Standard Error of the OLS Estimator
The aim of this exercise is to illustrate the difference between homoskedastic
standard errors and heteroskedasticity-robust standard erro

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Problem Set #2
Exercise 1. (Review of Concepts) Define the following concepts:
(i) Conditional expectation
(ii) Mean independence
(iii) Conditional variance
Exercise 2. Which of the following cond

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Exercise Lecture #2 - Standard Error of the OLS Estimator
The aim of this exercise is to illustrate the difference between homoskedastic
standard errors and heteroskedasticity-robust standard erro

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Problem Set #3
You must bring your solutions to your tutorial. You could be asked to do part of the
solutions on the board. You must show that you have attempted the questions, even
if you have no

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Exercise Lecture #1 - Method-of-Moment Estimator
The aim of this exercise is to illustrate two points. The first point is the use of
the sample analog principle to construct an estimator for the c

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Exercise Lecture #1 - Method-of-Moment Estimator
The aim of this exercise is to illustrate two points. The first point is the use of
the sample analog principle to construct an estimator for the c

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Problem Set #1
Exercise 1. (Review of Concepts) Define the following concepts:
(a) Random variable.
(b) Distribution function.
(c) Population, Sample and Statistic.
(d) Mean Squared Error.
(e) Typ

EFIM0005 - QUANTITATIVE METHODS FOR FINANCE AND INVESTMENT
Exercise Lecture #3 - The OLS estimator in the Deterministic Trend Model
Exercise 1. Consider the autoregressive model:
yt = 0 + 1 yt1 + ut
(1)
where cfw_ut t is a zero mean white noise process wi

UNIVERSITY OF BRISTOL
Examination for the Degree of M.Sc. in Economics,
in Economics and Econometrics,
in Economics and Finance,
in Quantitative Development Economics,
in Economics and Public Policy,
and Finance and Investment
JANUARY 2013
EXAM PAPER NUMB

UNIVERSITY OF BRISTOL
Examination for the Degree of M.Sc. in Economics,
in Economics and Econometrics,
in Economics and Finance,
in Quantitative Development Economics,
in Economics and Public Policy,
and Finance and Investment
JANUARY 2014
EXAM PAPER NUMB

ECONM0005-Quantiative Methods for Finance and Investment
Answer 3 questions. There are three sections, Section A, Section B and Section B.
Answer one question from each section.
SECTION A
1.(Mandatory)
(a) Explain the differences between cross-section, ti