[Answer to Financial Market] A Solution Manual to Econometrics of Financila Macket.pdf

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1、ASolutionManualtoTheEconometricsofFinancialMarketsPetrAdamekJohnY.CampbellAndrewW.LoA.CraigMacKinlayLuisM.ViceiraAuthoraddress:MITSloanSchool,50MemorialDrive,Cambridge,MA02142{1347DepartmentofEconomics,HarvardUniversity,LittauerCenter,Cam-bridge,MA021

2、38MITSloanSchool,50MemorialDrive,Cambridge,MA02142{1347WhartonSchool,UniversityofPennsylvania,3620LocustWalk,Philadel-phia,PA19104{6367DepartmentofEconomics,HarvardUniversity,LittauerCenter,Cam-bridge,MA02138ContentsListofFiguresvListofTablesviiPrefac

3、e1ProblemsinChapter23Solution2.13Solution2.23Solution2.33Solution2.43Solution2.54ProblemsinChapter39Solution3.19Solution3.210Solution3.310Solution3.411Solution3.513Solution3.613Solution3.719ProblemsinChapter423Solution4.123Solution4.223Solution4.324Pr

4、oblemsinChapter525Solution5.125Solution5.226Solution5.327Solution5.427ProblemsinChapter629Solution6.129Solution6.230Solution6.330ProblemsinChapter733Solution7.133Solution7.234Solution7.334Solution7.435Solution7.536iiiivCONTENTSProblemsinChapter837Solu

5、tion8.137Solution8.239Solution8.341ProblemsinChapter945Solution9.145Solution9.245Solution9.346Solution9.448ProblemsinChapter1051Solution10.151Solution10.252ProblemsinChapter1155Solution11.155Solution11.258ProblemsinChapter1261Solution12.161Solution12.

6、262Solution12.362ListofFigures2.1Histogramsofreturnsonindexes;1962{199473.1HistogramforIBMStockPrice143.2HistogramofIBMPriceChanges143.3HistogramofIBMPriceChangesFallingonOddorEvenEighth153.4HistogramofTimesBetweenTradesforIBM153.5IBMPriceandVolumeonJ

7、an4,1988173.6IBMPriceandVolumeonJan5,1988183.7IBMBid/AskSpreadHistogramonJan5,19881912.1KernelRegressionofIBMReturnsonS&P500Returns63vviLISTOFFIGURESListofTables2.1TenindividualstocksforProblem2.542.2PeriodsforDailyandMonthlyData42.3StatisticsforDaily

8、andMonthlySimpleandContinuouslyCompoundedReturns53.1InputDataforProblem3.1.3123.2ResultingStatisticsforProblem3.1.3123.3SimulationResultsforProblem3.5163.4UnconditionalandConditionalDistributionsofBid/AskSpreads203.5ContingencyTables2112.1IBMB