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
SEAT NUMBER: . ROOM: .
MACQUARI E
U N IVERSITY 0)! FAMILY NAME .
This question paper must be returned. OTHER NAMES .
Candidates are not permitted to remove
any part of it from the examination room. STUDENT NUMBER .
SESSION 2 FORMAL EXAMINATIONS NOVEMBER/D
Multiple Choice Test Bank Questions No Feedback Chapters 8 and 9
Correct answers denoted by an asterisk.
1. What would typically be the shape of the news impact curve for a series that exactly
followed a GARCH (1,1) process?
(a) It would be asymmetric, wi
Macquarie University
Department of Economics
Financial Econometrics (ECON334)
Semester 1, 2014
Individual Assignment
This assignment is worth 20% of your overall course mark. You are required to
submit the assignment in both print and electronic copies by
ECON334: Financial Econometrics
ASSIGNMENT
DUE: Friday, June 8 by 4 pm
This is a group assignment; groups should consist of up to four students. All
assignments should be submitted to the special assignment box at BESS (E4B), as
well as emailed to george.
ECON334 SEMESTER ASSIGNMENT COVER SHEET
(to be attached to the front of your semester assignment)
PLAGIARISM DECLARATION
Plagiarism involves the use of the work of another person and presenting it as ones own. Any of the
following acts constitutes plagiar
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
ECON334 SEMESTER ASSIGNMENT COVER SHEET
(to be attached to the front of your semester assignment)
PLAGIARISM DECLARATION
Plagiarism involves the use of the work of another person and presenting it as ones own. Any of the
following acts constitutes plagiar
Multiple Choice Test Bank Questions No Feedback Chapters 1 and 2
Correct answers denoted by an asterisk.
1. The numerical score assigned to the credit rating of a bond is best described as what
type of number?
(a) Continuous
(b) Cardinal
(c)* Ordinal
(d)
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: [email protected]
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: [email protected]
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
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
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 on mo
ECON334: Financial Econometrics
Lecture 5:
Time Series Models
March, 2015
1 / 49
Organization Issues: Lectures
I
Unit Convenor: Dr Shuping Shi
I
I
I
I
I
I
Email: [email protected]
Phone: 9850 8501
Ofce: E4A Bld Room 441
Lecture: Thursday 12- 2pm at C5
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
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: [email protected]
Phone: 9850 85
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, 2016
Measuring Dependence
1.
How do we measure the effect of
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 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: [email protected]
Phone: 9850 85
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 4:
Regression Model Diagnostics
March, 2015
1 / 37
Organization Issues: Lectures
I
Unit Convenor: Dr Shuping Shi
I
I
I
I
I
I
Email: [email protected]
Phone: 9850 8501
Ofce: E4A Bld Room 441
Lecture: Thursday 12-
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(
Financial Econometrics
Econ334
George Milunovich
Macquarie University
Semester 2, 2016
About Econ334
Objectives
Teach econometric techniques that are commonly used in finance
Develop ability to understand and analyze financial time series data
Build m