Solution-Produce the descriptive statistics on the stock

Produce the descriptive statistics on the stock index

Assignment Help Business Economics

Reference no: EM131395726

1. You are given monthly simple returns on Russell 1000 Growth Index for the period July 1963 - June 2002. The data can be downloaded from here: https://www.dropbox.com/s/49mvv9fxe25u2v9/RUSSELL_1000_GR.txt?dl=0. The returns are continuously com- pounded; that is, they are of the form log(1 + Rt), where Rt is a simple return. Such continuously compounded returns are the log-difference of the stock price Pt, log(1 + Rt) = Δlog Pt:

Financial economists believe that stock prices are well described as a random walk with drift, Δlog Pt = B + ?t; where denotes the so-called drift parameter.

(a) Produce the descriptive statistics on the stock index that are given, present an OLS estimate of B

(b) Perform a test of the hypothesis that the drift is zero. Use a 5% level of signicance. State all elements of your test procedure carefully.

Reference no: EM131395726

Questions Cloud

Explain the golden rules and principles of design : Explain the Golden Rules and Principles of Design. Use both knowledge in the world and knowledge in the head. Exploit the power of constraints, both natural and artificial.

What is the final goal of marketing activities : What is the final goal of marketing activities, and what are the four things you need to know to define a market?

Criticize the given definitions - a sculpture : Criticize the following definitions in light of the eight rules for lexical definitions:- A sculpture is a three-dimensional image made of marble.

Finds the smallest and the largest element of a vector : Either return a struct containing the results or pass them back through reference arguments. Which of the two ways of returning several result values do you prefer and why?

Produce the descriptive statistics on the stock index : (a) Produce the descriptive statistics on the stock index that are given, present an OLS estimate of B (b) Perform a test of the hypothesis that the drift is zero. Use a 5% level of signicance. State all elements of your test procedure carefully.

Discuss the systems approach to auditing : Outline the purpose of an audit engagement letter and discuss the "Systems Approach" to auditing.

Criticize the given definitions - elusory : Criticize the following definitions in light of the eight rules for lexical definitions:- "Elusory" means elusive.

Write two functions that reverse order of elements : The first reverse function should produce a new vector with the reversed sequence, leaving its original vector unchanged. The other reverse function should reverse the elements of its vector without using any other vectors (hint: swap).

Criticize the given definitions - birdie : Criticize the following definitions in light of the eight rules for lexical definitions:- "Birdie" means sinking the ball in one stroke under par.

User Account

All Pages

Produce the descriptive statistics on the stock index

Reference no: EM131395726

Reference no: EM131395726

Questions Cloud

Reviews

Write a Review

Business Economics Questions & Answers

Economics assignment

Demand and supply curves

Long-run perfectly competitive equilibrium for the firm

Supply and demand diagrams

Case study: fisher-price toys

Draw the production possibility curve

Tax revenue

Maximize total welfare

Difference between the cv and the ev

Depict von neumann-morgenstern utility index u in a diagram

What is the market solution

Calculate gross national product and net national product

Assured A++ Grade

Academics

Major Subjects

Majors

Get In Touch

TERMS & POLICIES

HELP & SUPPORT