Multiple Choice Test Bank Questions No Feedback Chapter 3
Correct answers denoted by an asterisk.
1. Consider a standard normally distributed variable, a t-distributed variable with d
degrees of freedom, and an F-distributed variable with (1, d) degrees o
Macquarie University
Department of Economics
ECON334 Financial Econometrics
Session 1, 2015
Tutorial Week 3 Solution
Question 1:
An investment firm has classified its clients according to their gender and the
composition of their investment portf
ECON334: Financial Econometrics
Lecture 2:
Measuring Dependence
Feb, 2015
Organization Issues: Lectures
I
Unit Convenor: Dr Shuping Shi
I
I
I
I
I
I
Email: Shuping.shi@mq.edu.au
Phone: 9850 8501
Ofce: E4A Bld Room 441
Lecture: Thursday 12- 2pm at C5C T1 Th
ECON334: Financial Econometrics
Lecture 4:
Regression Model Diagnostics
March, 2015
1 / 37
Organization Issues: Lectures
I
Unit Convenor: Dr Shuping Shi
I
I
I
I
I
I
Email: Shuping.shi@mq.edu.au
Phone: 9850 8501
Ofce: E4A Bld Room 441
Lecture: Thursday 12-
Financial Econometrics
Econ334
Week 4
George Milunovich
Macquarie University
Semester 2, 2014.
Assumptions of the CLRM
Recall that we made the following assumptions regarding the CLRM disturbance
terms
1.
2.
3.
4.
5.
E( ) = 0
for all
Var( ) = 2
for all
C
ECON334: Financial Econometrics
Lecture 2:
Measuring Dependence
Feb, 2015
Organization Issues: Lectures
I
Unit Convenor: Dr Shuping Shi
I
I
I
I
I
I
Email: Shuping.shi@mq.edu.au
Phone: 9850 8501
Ofce: E4A Bld Room 441
Lecture: Thursday 12- 2pm at C5C T1 Th
Financial Econometrics
Econ334
Week 3
George Milunovich
Macquarie University
Semester 2, 2014
Factor Models
Up to this point we have assumed that our dependent variable is a linear
function of one independent variable. As an application we considered the
ECON334: Financial Econometrics
Lecture 3:
Multiple Linear Regression Model
March, 2015
1 / 38
Organization Issues: Lectures
I
Unit Convenor: Dr Shuping Shi
I
I
I
I
I
I
Email: Shuping.shi@mq.edu.au
Phone: 9850 8501
Ofce: E4A Bld Room 441
Lecture: Thursday
Financial Econometrics
Econ334
Week 2
Derivations in these notes will not be tested
Conclusions, implications, and applications are examinable
George Milunovich
Macquarie University
Semester 2, 2014
Measuring Dependence
1.
How do we measure the effect of
ECON334: Financial Econometrics
Lecture 1 :
Data Transformation and Basic Statistics
Feb, 2015
Organization Issues: Lectures
I
Unit Convenor: Dr Shuping Shi
I
I
I
I
I
I
Lecturer: Dr George Milunovich
I
I
I
I
I
I
Email: Shuping.shi@mq.edu.au
Phone: 9850 85
ECON334: Financial Econometrics
Lecture 1 :
Data Transformation and Basic Statistics
Feb, 2015
Organization Issues: Lectures
I
Unit Convenor: Dr Shuping Shi
I
I
I
I
I
I
Lecturer: Dr George Milunovich
I
I
I
I
I
I
Email: Shuping.shi@mq.edu.au
Phone: 9850 85
Week 02 Tutorial Exercises
Financial Econometrics - Econ334
Note to students: Tutors may not be able to get through all the questions in one hour. It remains
students responsibility to complete the entire tutorial.
Question 1
Refer to the statistics
Week 02 Tutorial Exercises
Financial Econometrics - Econ334
Note to students: Tutors may not be able to get through all the questions in one hour. It remains
students responsibility to complete the entire tutorial.
Question 1: Return calculation and
Financial Econometrics
Econ334
Week 5
George Milunovich
Macquarie University
Semester 2, 2014
Market Efficiency
The origins of the Efficient Market Hypothesis (EMH) can be traced back to
Bachelier (1900) and his thesis Thorie de la spculation
More recen
Tutorial Questions Week 11
Q1. Chapter 9 Review Question 1. b) , c), d), e), g)
b) GARCH models are designed to capture the volatility clustering effects in the returns (or residuals
from a regression model), and they can also capture some of the leptokur
Week 6 Tutorial Exercises
Q1. When is an asset market efficient?
Malkiel (1992) states that
A capital market is said to be efficient if it fully and correctly reflects all relevant information in
determining security prices. Formally, the market is said t
Macquarie University
Department of Economics
ECON334 Financial Econometrics
Session 1, 2015
Tutorial Week 2
PartI:IntroductiontoEviews:
Log in to iLearn to download the Excel data file for Week 2 tutorial. The Excel data file
NASDAQ.xlsx contains
Macquarie University
Department of Economics
ECON334 Financial Econometrics
Session 1, 2015
Tutorial Week 2 Solutions
Question1
PleaseusetheresultsproducedinPartItoanswerthefollowingquestions:
1) Based on the descriptive statistics, the average month
Macquarie University
Department of Economics
ECON334 Financial Econometrics
Session 1, 2015
Tutorial Week 11 Solution
Modeling Volatility and Unit Root Testing
Question 1 Modelling volatility
This question is based on the EViews file HEDGE_AORD.WF1 which
Macquarie University
Department of Economics
ECON334 Financial Econometrics
Session 1, 2015
Tutorial Week 4 Solution
Question 1: Matrix Algebra
Please read the additional material on matrix algebra before completing this question.
1. Find + , , and trace(
Macquarie University
Department of Economics
ECON334 Financial Econometrics
Session 1, 2015
Tutorial Week 13 Solution
VAR and Granger Causality Test
Question 1
Use the excel file Money_demand.xls to conduct the following analysis. This file contains
data
Week 10 Tutorial Solution
Q1. Chapter 8 Question 1 (ignore the strict stationarity part)
a) Many series in finance and economics in their levels (or logs) are non-stationary and exhibit
stochastic trends. They have a tendency not to revert to a mean level
Week 5 Tutorial Exercises
Financial Econometrics - Econ334
Note to students: Tutors may not be able to get through all the questions in one hour. It remains
students responsibility to complete the entire tutorial.
Q1. Chapter 5, Review Question 1
We know
Week 3 Tutorial Solutions
Financial Econometrics - Econ334
Note: Tutors may not be able to get through all the questions in one hour. It remains students
responsibility to complete the entire tutorial.
Question 1:
The data given below gives annual income
Week 4 Tutorial Solutions
Financial Econometrics - Econ334
Note to students: Tutors may not be able to get through all the questions in one hour. It remains
students responsibility to complete the entire tutorial.
Q1.
a. 0 : 3 = 2
We could use an - or a -
Tutorial Questions Week 12
Q1:Chapter10oftextbookSelfstudyQuestion1,allparts.
a)
b)
c)
d)
Asimplemethodwouldbetoobtainasampleofdailystockreturnsandregressthemon5
dayoftheweekdummyvariables.Thecoefficientestimateswouldthenbeinterpretedas
theaveragereturno