1.Explain why the total return from holding a bond to maturity will be between the yield to
maturity and the reinvestment rate.
The total return is influenced by two factors, including coupon payments and current value of
bond.
YTM>coupon market value<par

EXOGENEITY
Two Stage Least Squares
and Instrumental Variables
Estimation
Lecturer: Dr. Cal Muckley
1
Overview [1 of 4]
The exogeneity assumption of the Gauss-Markov theorem: explanatory
variables are either (i) non-stochastic, i.e., fixed in repeated samp

Non-Linear Regression Models
Lecturer: Dr. Cal Muckley
1
Overview I
Intrinsically non-linear in-the-parameters regression
models (NLRMs) cannot be transformed such that they are
linear in-the-parameters. Nonetheless, they are
estimable.
In particular, N

EXAMINATION Semester 1 2014/15
MSc in Finance
MSc in Quantitative Finance
MSc in Energy and Environmental Finance
FIN 40020: Financial Econometrics
Professor Jerry Coakley
Professor Ciarn hgartaigh
Professor Don Bredin
Dr. Cal Muckley
Instructions for Can

AN OVERVIEW OF THE
CLASSICAL LINEAR
REGRESSION MODEL
Lecturer: Dr. Cal Muckley
Overview of Handout [1 of 2]
Regression & OLS
Regression Basics; Correlation; PRF and SRF
+ an example: the CAPM
The OLS Estimator and its Derivation
Gauss Markov theorem: O

Financial Econometrics (FIN40020)
LECTURE DETAILS: As per programme office advised schedule.
LECTURER: Dr. Cal Muckley; Lecture theatre C-302
CONTACT DETAILS: Office S-314 (cal.muckley@ucd.ie)
OFFICE HOURS: Tuesdays 3-4 pm. After class and by Appointment

Relaxing the Assumptions of the Classical
Linear Regression Model
Autocorrelation
Lecturer : Dr. Cal Muckley
Module : Financial Econometrics
1
Overview of Handout[1]
In this handout the topic of autocorrelation is addressed under the
following main headin

MLEs and Qualitative Response
Regression Models
Lecturer: Dr. C. Muckley
1
Overview [1 of 3]
MLE is a standard method for fitting the parameters of a density function.
It consists of estimating the unknown parameters such that the probability of observing

Relaxing the Assumptions of the
Classical Linear Regression Model
Model Specification &
Diagnostic Checking
Lecturer : Dr. Cal Muckley
Module : Financial Econometrics
1
Overview of the Handout [1]
The CLRM assumes that the adopted model is correctly spec

1.What is the cash flow of a 10-year bond that pays coupon interest semiannually, has acoupon rate of 7%, and has a par
value of $100,000?
(100000*0.07/2)*20+100000=170000$
2.What does the call provision in a bond entitle the issuer to do?
This is a commo

Econometrics
Problem Set 3
WISE, Xiamen University
Spring 2016
Conceptual Questions
1. (SW 4.2) Suppose that a random sample of 200 twenty-year-old men is selected from a
population and that these mens height and weight are recorded. A regression of weigh