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Suppose that the current daily volatilities of asset X and asset Y are 1.0% and 1.2%, respectively. The prices of the assets at close of trading yesterday were $30 and $50 and the estimate of the coefficient of correlation between the returns on the two assets made at this time was 0.50. Correlations and volatilities are updated using a GARCH(1,1) model. The estimates of the model's parameters are α = 0:04 and β = 0:94. For the correlation α = 0:000001, and for the volatilities β = 0:000003.
If the prices of the two assets at close of trading today are $31 and $51, how is the correlation estimate updated?
The Fitness Studio, Inc., with the help of its investment bank, recently issued $43.265 million of new debt. The offer price (and face value) on the debt was $1,000 per bond and the underwriter's spread was 3 percent of the gross proceeds.
Compute the means and the standard deviations of X and Y , and compute their correlation coefficients. - Fit a generalized Pareto distribution (GPD) to X and Y separately,
Each of the given indicates a series of foreign exchange interventions by the monetary authority of a country. For each, do you think that the authority effectively made a profit or not?
How does a dividend policy affect the value of a company and what are the factors involved with setting a dividend policy?
Assume that a specialty group has the following cost structure and that the group expects to perform 7,500 procedures in the coming year: Fixed costs $500,000 Variable Cost per procedure $25
Orange, Inc., sells a LearnIt-Plus software package that consists of their normal LearnIt math tutorial program along with a one-year subscription to the online LearnIt Office Hours virtual classroom. LearnIt-Plus retails for $400.
Write MATLAB code to produce a randomly generated number which is equally likely to produce any number from the series.
explain the variation in a particular dependent variable. The regression output for each equation can be summarized as follows:
A bank enters a repurchase agreement in which it agrees to buy Treasury securities from a correspondent bank at a price of $19,945,000, with the promise to buy them back at a price of $20,000,000.
ashley has a major medical health insurance policy with a $2 million lifetime limit. The policy has a $500 calendar year deductible and a 20 percent coinsurance clause.
Long run inflation is forecasted to be 3 percent per annum in the U.S and 7 percent in SA. The current spot foreign exchange rate is ZAR/USD = 3.75. Determine the NPV for the project in USD by
In practice, a common way to value a share of stock when a company pays dividends is to value the dividends over the next five years or so, then find the "terminal" stock price using a benchmark PE ratio.
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