S CHOOL OF E CONOMICS
ECMT2130 -F INANCIAL E CONOMETRICS
Name:
SID:
Sample Midterm Exam (Total points: 80)
Reading: 10 mins
Exam: 90 mins
Relax, concentrate, and think your answers through. Good Luck.
0
Short Answer Questions
Please SHOW and EXPLAIN all t

Topic 3: Risk and Return
ECMT 2130: Financial Econometrics
Instructor: Dr. Yunjong Eo
School of Economics, University of Sydney
Real and Nominal Rates of
Interest
Nominal interest rate
Growth rate of your money
Real interest rate
Growth rate of your pur

OLS in Matrix Form
1
The True Model
Let X be an n k matrix where we have observations on k independent variables for n
observations. Since our model will usually contain a constant term, one of the columns in
the X matrix will contain only ones. This col

Topic 1: Matrix Algebra
ECMT 2130: Financial Econometrics
Instructor: Dr. Yunjong Eo
School of Economics, University of Sydney
Course Information
Instructor: Yunjong Eo, Ph.D
Phone: 9351 3075, Email: yunjong.eo@sydney.edu.au
Office: Room 338, Merewethe

Instructor: Dr. Yunjong Eo
Assignment #1 (Week 1)
Due Date: Submit your answers before your tutorial session starts in week 2. (You may
photocopy your answers before you submit in order to compare them to suggested answers.)
Please SHOW and EXPLAIN all

ECMT 2130 Financial Econometrics
Gauss-Markov Theorem
It it is assumed that E(u|X) = 0 and E(uuT ) = 2 I in the linear regression model, then OLS
in the sense that
estimator is more efficient than any other linear unbiased estimator ,
V ar()
is a posit

ECMT 2130 Financial Econometrics
Instructor: Dr. Yunjong Eo
Week 4
A. Assignment
Due Date: Hand in your answers before your tutorial starts in Week 4. (You may photocopy your
answers before you submit in order to compare them to suggested answers .)
Cons

Instructor: Dr. Yunjong Eo
Week #3
Due Date: Hand in your answers before your tutorial starts. (You may photocopy your
answers before you submit in order to compare them to suggested answers .)
1. Describe the assumptions for the OLS estimator.
2. Show t

Topi 2: Ordinary Least Squares
Instrutor: Dr. Yunjong Eo
Shool of Eonomis, University of Sydney
Review: Classial linear regression model
Population: For
i = 1, . . . , n
yi
=
=
xi 1 01 + + xik 0k + ui
xi 0
(1)
+ ui ,
(2)
xi = [xi 1 , . . . , xik ] and = [

Short Answer Questions
Please SHOW and EXPLAIN all the steps necessary in your answers.
1. Consider the following ARMA (1,1) model for t = 1, ., T
yt = c + yt1 + et + et1 ,
et iid(0, e2 )
(1)
where | < 1 and 6= 0.
(a) Show the Wold representation for regr

Faculty of Arts and Social Sciences
School:
School of Economics
Department/Program:
Economics
Unit of Study:
ECMT2130 Financial Econometrics
Session:
Semester 2, 2016
Unit of Study Outline
Unit Coordinators
Unit coordinators are listed on undergraduate an