Stationary Test (Unit Root Test) Nelson and Plosser (1982) argue that almost all macroeconomic time series one typically uses have a unit root. The presence or absence of unit roots helps to identify some features of the underlying data generating process of a series. In the absence of unit root (stationary), the series fluctuates around a constant long-run mean and implies that the series has a finite variance which does not depend on time. On the other hand, non- stationary series have no tendency
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of the whole market. It is arrived at by using regression analysis where the value represents how an investment’s return responds to market fluctuations. (Richard Loth, 2007) Application Going by Beta’s definition, a market has a standard beta of 1. Individual securities and portfolios are then measured based on how much they deviate from the market given beta value of 1. A portfolio with a beta of 1.0 shows that the price of the investment is moving in tandem with that of the market. When the beta
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Chapter 11 Return and Risk: The Capital Asset Pricing Model (CAPM) Copyright © 2015 by the McGraw-Hill Education (Asia). All rights reserved. 11.1 Individual Securities The characteristics of individual securities that are of interest are the: Expected Return Variance and Standard Deviation Covariance and Correlation (to another security or index) 11-1 11.2 Expected Return, Variance, and Covariance Consider the following two risky asset world. There is a 1/3
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Financial Intermediaries and the Perfect Market Models When a banker starts to study the theory of financial intermediation in order to better understand what he has done during his professional life, he enters a world unknown to him. The world is full of concepts which he did not, or hardly, know before and full of expressions he never used himself: asymmetric information, adverse selection, monitoring, costly state verification, moral hazard and a couple more of the same kind. As it took shape
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Corporations issue debt securities such as debentures, term loans, commercial bills, promissory notes and unsecured notes. 3. Identify and explain briefly the types of derivatives in a financial system. A future contract is a contract to buy (or sell) a specified amount of a commodity or financial instrument at a price determined today for delivery or payment at a future specified date A forward contract has features similar to a future contract but is generally more flexible as it is
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Bloomberg Assignment Financial Markets and Institutions Friday, August 10th, 2012 Introduction As a basis for considering sound investment decisions we will be investigating the government bond market. We will be focusing specifically on Canadian federal government bonds, and conducting our analysis on the exploration of 3 month, 5 year, and 10 year bond statistics. The decision to explore the Canadian federal government bond market is motivated by a keen interest towards the impact that
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1) Explain what options are. 2) Talk about different option markets. 3) Talk about American market. 4) Talk about European market. 5) Explain major differences. 1) An option is a financial derivative that represents a contract sold by one party (option writer) to another party (option holder). The contract offers the buyer the right, but not the obligation, to buy (call) or sell (put) a security or other financial asset at an agreed-upon price (the strike price) during a certain period of
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Правительство Российской Федерации федеральное государственное автономное образовательное учреждение высшего профессионального образования "Национальный исследовательский университет "Высшая школа экономики" Факультет экономики Кафедра финансового менеджмента КУРСОВАЯ РАБОТА На тему «Предсказательные модели на финансовых рынках» Студент группы № Э-10-3 Выгузов Г.А.___________ (Ф.И.О.) Научный руководитель
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ΠΑΝΕΠΙΣΤΗΜΙΟ ΠΑΤΡΩΝ ΤΜΗΜΑ ΔΙΟΙΚΗΣΗΣ ΕΠΙΧΕΙΡΗΣΕΩΝ ΜΕΤΑΠΤΥΧΙΑΚΟ ΠΡΟΓΡΑΜΜΑ ΣΠΟΥΔΩΝ(ΜΒΑ) «ΝΕΕΣ ΑΡΧΕΣ ΔΙΟΙΚΗΣΗΣ ΕΠΙΧΕΙΡΗΣΕΩΝ» ΤΙΤΛΟΣ ΔΙΠΛΩΜΑΤΙΚΗΣ ΕΡΓΑΣΙΑΣ Η ΧΡΗΜΑΤΟΠΙΣΤΩΤΙΚΗ ΚΡΙΣΗ ΚΑΙ Η ΕΠΟΠΤΕΙΑ ΤΩΝ ΧΡΗΜΑΤΑΓΟΡΩΝ ΜΕΤΑΠΤΥΧΙΑΚΗ ΦΟΙΤΗΤΡΙΑ Χριστοφόρου Βασιλική Α.Μ: 176 ΕΠΙΒΛΕΠΩΝ Συριόπουλος Κωνσταντίνος, Καθηγητής Παν/μιου Πατρών ΣΥΝΕΠΙΒΛΕΠΟΝΤΕΣ
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Will Inflation Undermine a Country’s Financial System and eventually Ruin the Nation? Will Inflation Undermine a Country’s Financial System and eventually ruin the Nation? Abstract As with all things the answer to the question: “Will Inflation Undermine a Country’s Financial System and eventually ruin the Nation?” is a question of degrees. It is not whether inflation will ruin a nation, but how much inflation will ruin a nation. 0.00001% is still an inflationary number as is 1,000,000%
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