We use cookies to create the best experience for you. Keep on browsing if you are OK with that, or find out how to manage cookies.
Nobody downloaded yet

Financial Econometrics Coursework - Essay Example

Comments (0) Cite this document
The following approach has been extensively applied in the literature. The independent variable is the future return and the dependent variable the spot return to construct the following model:
Download paper
Financial Econometrics Coursework
Read TextPreview

Extract of sample
Financial Econometrics Coursework

In 2003, the U.S. Securities and Exchange Commission (SEC) mentioned that the R-square of the regression analysis was insufficient to determine the effectiveness of hedging. In a speech by a professional accounting fellow from the office of the chief accountant of the U.S. Securities and Exchange Commission, stated that determination of hedge effectiveness should consider the slope of the coefficient of the regression analysis. This coefficient reflects the minimum variance hedge ratio.1
The interpretation of the regression slope coefficient is the average change in the dependent variable: real total expenditure on food for a unit increase in the independent variable: Real total expenditure on goods and services. The slope coefficient it 0.32, thus for every 1 unit change in real total expenditure on goods and services, there is a 0.32 unit change in real expenditure on food.
Omission of an important independent variable such as real price of food relative to other goods will result in the decreased ability of the model to predict the real total expenditures on food given the real total expenditures on food.
The independent variables used to predict 99.9% of the dependent variable: real consumption expenditure as indicated by the value of the adjusted-R Squared. The Durbin-Watson value of 1.85 indicates there is no signs of first-order serial correlation in the residuals of a time series regression. The values of Akaike info criterion (AIC) -268.2093 and Schwarz criterion -273.6530 are extremely low indicating the need for modification in the regression model by changing the independent variables. The t-statistic value could be compared with the critical t-value which is not available.
The reported Probability is the p-value, or marginal significance level. Since this probability value of the regression analysis (F-statistic) is less than the size of the test, say 0.05, the null hypothesis could be rejected. This indicates that the ... Read More
Cite this document
  • APA
  • MLA
(“Financial Econometrics Coursework Essay Example | Topics and Well Written Essays - 2000 words”, n.d.)
Retrieved from https://studentshare.net/miscellaneous/350109-financial-econometrics-coursework
(Financial Econometrics Coursework Essay Example | Topics and Well Written Essays - 2000 Words)
“Financial Econometrics Coursework Essay Example | Topics and Well Written Essays - 2000 Words”, n.d. https://studentshare.net/miscellaneous/350109-financial-econometrics-coursework.
  • Cited: 0 times
Comments (0)
Click to create a comment
Financial Information: Coursework Assignment
The company offers a huge range of products including food items, general merchandise, accessories, household items, and electrical products. In addition to its core business the company also provides financial services including insurance and retail banking.
5 Pages(1250 words)Essay
Financial Accounting coursework
Key Accounting Concepts and Conventions…………………………………………..4 4. Marks & Spencer’s treatment of PPE, Intangible assets and provisions……………5 5. Impact of Impairment on Marks & Spencer’s Finance Performance………………6 6.
5 Pages(1250 words)Essay
In this report, the graphical analysis, multivariate estimation like Ordinary Least Squares and 2SLS as well as the time series analysis of the data based on VAR estimation are done. The graphs in appendix 1 show the actual plots and correlograms of
6 Pages(1500 words)Essay
In this case, there is a weak positive correlation between the two variables. Since the coefficient is positive, there is a positive linear relationship between health status and years of education. When years in education increase, there is an improvement in
16 Pages(4000 words)Essay
Thai modest and medium-sized enterprises on the other hand, are nonetheless not entirely competitive, particularly in overseas markets, which require successful production, excellent management structures, market features, product as well as service
8 Pages(2000 words)Essay
In the years before and during 2011, Apple Computers produced and sold personal computer systems to its customers worldwide. This included individual clients, institutions of learning, health
15 Pages(3750 words)Essay
Financial econometrics
HY fund managers have attended business schools with slightly higher matriculates SAT scores. Almost half of the managers hold an MBA degree, and about 25% hold a CFA degree but are less experienced. It should be noted that the HY managers yield higher gross returns. The
2 Pages(500 words)Essay
Other irrelevant variables were eliminated from the model. With a probability F approximately equal to zero, then it implies that the model was significant with at least one of the coefficients statistically different from zero. It was observed that, holding all
3 Pages(750 words)Essay
Financial Econometrics
However, the descriptive statistics is different from the inferential statistics. Normally speaking, the descriptive statistics gives a keen glimpse on the data alone. According to Larson(2006,pg76-81) ) “Descriptive statistics for continuous
6 Pages(1500 words)Essay
The above data cannot be used as the dependent variable since its assumed that the data must be following a normal distribution and from the above data, the variable has outliers and is skewed to right. Therefore the assumption of normality is violated in
3 Pages(750 words)Essay
Let us find you another Essay on topic Financial Econometrics Coursework for FREE!
Contact us:
Contact Us Now
FREE Mobile Apps:
  • About StudentShare
  • Testimonials
  • FAQ
  • Blog
  • Free Essays
  • New Essays
  • Essays
  • The Newest Essay Topics
  • Index samples by all dates
Join us:
Contact Us