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Focus on the monthly log returns in percentages of GE stock and the S&P 500 index.
Build a time-varying correlation GARCH model for the bivariate series using the Cholesky decomposition.
Check the adequacy of the fitted model, and obtain the 1-step ahead forecast of the covariance matrix at the forecast origin December 1999.
Compare the model with the other two models built in the previous exercises.
Assume, that stocks in this economy are price according to CAPM. You are holding a portfolio of stocks where the beta of your portfolio is 1.5 and its correlation with the market portfolio is 0.75. The risk-free rate is 5%, the expected market return..
Paying for School Your daughter will start college one year from today, at which time the first tuition payment of $58,000 must be made. Assuming that tuition does not increase over time and that your daughter remains in school for four years, how mu..
Maccarone Incorporated had earnings of $1,500,000 last year. On average, 1 million shares were outstanding during the year. Had all holders of the company=s options exchanged them for stock at the beginning of the year, there would have been 1,250,00..
The risk-free rate is currently 2.8%. In one year the price of a given share of stock that currently trades at $40 per share is expected to either increase by 8% or decrease by 2%. What is the current value of a call on this stock with exercise price..
Boyd Crowder's Chowder, Inc. desires a sustainable growth rate of 3.8 percent while maintaining a 49 percent dividend payout ratio and a 4.9 percent profit margin. The company has a capital intensity ratio of 1.21. What equity multiplier is required ..
Simpkins Corporation does not pay any dividends because it is expanding rapidly and needs to retain all of its earnings. However, investors expect Simpkins to begin paying dividends, with the first dividend of $1.25 coming 3 years from today. what is..
Suppose a company has net income of 1,000,000 and a plowback ratio of 40%. There are 50,000 shares of stock outstanding. The company plans to increase dividends by 22% each year for the next 2 years and apply a 2.25% growth rate to dividends each yea..
A coupon bond has two years to maturity, a face value of $1,000 and a coupon rate of 5%. You buy the bond at par, and, after 1 year, market yields rise to 7%. Find the rate of return on your bond for the first year.
Ghost Rider Corporation has bonds on the market with 10 years to maturity, a YTM of 6.5 percent, and a current price of $926. What must the coupon rate be on the company’s bonds?
JJ Industries will pay a regular dividend of $2.90 per share for each of the next four years. At the end of four years, the company will also pay out a liquidating dividend. If the discount rate is 12 percent, and the current share price is $65, what..
What will $5,000 invested for 10 years at 8 percent compounded annually grow to? How many years will it take $400 to grow to $1,671 if it is invested at 10 percent compounded annually? At what rate would $1,000 have to be invested to grow to $4,046 i..
You are a shareholder in a C corporation. The corporation earns $2.45 per share before taxes. On e is has paid taxes, it will distribute the rest of its earnings to you as a dividend. The corporate tax rate is 38%, and your personal tax rate on (both..
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