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Hi, In Reference to HULLCH10_Question 10.5: What is Simplified Approach Equation 10.4 the the solution is referring to here ..? :confused::confused: Question 10.5: Suppose that observations on an exchange rate at the end of the past 11 days have been 0.7000, 0.7010, 0.7070, 0.6999, 0.6970...

Hi, @David Harper CFA FRM had indicated in a thread that -" The general form of the F-statistic is F[numerator df, denominator df] = (ESS/df)/(RSS/df) " F -Statistic is also expressed as = {Sum Of Squares BETWEEN / df-BETWEEN } / { Sum Of Squares WITHIN / df-WITHIN } => This expression of...

Hi, For BODIE_CH10_EOC_QUESTION_9 :- I need help understanding the solution a & b to this problem- Would be very grateful if someone could elaborate on both points 'a' & 'b' ..? :(:( Thanks much for all the help.

In Reference to FIN_PRODS_HULL_CH6_INTEREST-RATE-FUTURES-PRACTICE-QUESTION-6.27 :- Why do we Short at Time =T and Go Long at Time = T* to lock in the forward rate for the span of time T to T* ..? Are we expecting a the value of the Canadian $ to fall at Time = T* and so we are selling the...

In Reference to FIN_PRODS_HULL_CH5_Determination_Of_Forward_and_Futures_Prices_Practice_Question_5.20 :- I have the following Practice Questions Hull 5.20:- It states that F0 = S0 * e^(r-q) *T Should it not be Ft = S0 * e^(r-q) *T instead ..? Because if F0 = St * e^(r-q) *T , then , the...

Hi, In Reference to FIN_PRODS_HULL_CH5_Determination_Of_Forward_and_Futures_Prices_Practice_Question_5.23 :- I have the following Practice Questions Hull 5.23:- 1) It states that Ft = St * e ^ (R- Rf ) (T-t) Isn't Ft = S0 * e ^ (R- Rf ) (T-t) ......? If we were to expressFt in terms of St...

On Practice Question Hull 4.22 : @David Harper CFA FRM While Calculating the Bond Price Change Due to a .2% decrease in Yield, why are we not also factoring in the Convexity Adjustment..?:confused::(:(

In Reference to P1.T2.Diebold, Ch8: MA(q) Process-Conditional Mean :- The Conditional Mean for MA(1) is : ( Theta). E t-1 What is the Conditional Mean for MA(q) ..? Thanks much :)

Need some help understanding the breakdown of the Arbitrage Portfolio....:(:(:( How is the Beta of the Portfolio .5 , the Return 7% and the Excess Rate 3%...? :(:(:(:confused::confused::confused::confused::confused::confused:

In reference to R10.P1.T1.BODIE_CH10_SINGLE_FACTOR_MODEL_vs_CAPM :- The CAPM Pricing Model is often referred to as the Single Factor Model. But the Single Factor Model is :- Ri = E(Ri) + Beta*F(Macro-Factor) + Non-Systemic-Firm-Specific-Risk Whereas, For the CAPM:- Ri = Rf (Risk-Free-Rate) +...

In Reference to R15.P1.T2.DIEBOLD_CH8_Topic: AR(p) Properties-COVARIANT-STATIONARY :- Wanted to clarify if the AR(p) Property of Covariance Stationarity should include the conditions that the Mean and the variance be Stable/Constant ..? The Inverse of the Roots of the Lag Operator is a...

In Reference to R15.P1.T2.DIEBOLD_CH7_Topic: WOLD'S_REPRESENTATION & COVARIANT-STATIONARY :- In Diebold Ch-7: On Pg 20 we have a statement stating the following: The " Non-Stationary Components " such as "Trends & Seasonality" should be removed from a Time Series to ultimately form a...

Hi, In reference to R15.P1.T2.DIEBOLD_CH7_PARTIAL_AUTO-CORRELATION :- I am having a bit of a confusion with the verbiage circled in Red below. What I have managed to understand on this topic is that :- the PACF ( Partial Auto Correlation) allows us to identify the "Order" of the...

Hi, In Reference to R16.P1.T2.HULL_CH11:Topic:BIVARIATE_NORMAL_DISTRIBUTION_Eg :- While Generating the Correlated Sample X(1) & X(2), why are we plugging in the -ve of e(1) & e(2) in the formula ....? :(:(

Hi, In reference to R16.P1.T2.HULL_CH11:Topic: VARIANCE_COVARIANCE_MATRIX_+VE_SEMI_DEFINITE Can anyone explain what is meant by the "Variance-Covariance Matrix" In order to be "Internally Consistent" has to satisfy the condition of w * C * wT =>+Ve Semi Definite" ...? What is "w" here...

In Reference to R16.P1.T2.HULL_CH11_TOPIC:UPDATED_CORRELATION_using_GARCH :- Hi, I have a couple of questions on this problem statement illustrated below:- 1) Omega (Correlation ) = .000001 This Omega is for the Correlation.Why are we using the same coefficient for the Covariance as well..? 2)...

Hi, In Reference to R10.P1.T1.BODIE_CH10_DIVERSIFICATION_of_RESIDUAL_RISK :- The Weighted-Variance of the Residual Risk = Avg-Variance of Residual Risk/ N =[ (Std-Dev of Residual Risk) ^ 2 / N ] / N The Avg-Volatility = ( Std-Dev/ N ) = 40% So, the Last term should be just (40% ) ^2...

In Reference to FIN_PRODS_HULL_CH2_COMMISSIONS :- Question # 1 : Why should we "Assume" an additional Commission of .75 % outside of the Commission Structure defined by Table 10.1 Question # 2 : i) So we pay Commission while purchasing 1 Contract-> $ 30 ii) We pay a 2nd Commission while...

Hi, In Reference to R28.P1.T4.TUCKMAN_CH2_$_VALUE_of_ZERO :- Wanted to confirm if $_VALUE_of_ZERO = $_VALUE_of_BASIS_POINTS ?

@David Harper CFA FRM Hull Chapter 4 Practice Question : Hull 4.16 :- We are given N =the Time Duration, the PV =$90 and FV= $100 and PMT= 8% Coupon for Bond 1 We are given N =the Time Duration, the PV =$80 and FV= $100 and PMT= 4% Coupon for Bond 2 We are asked to find the 10 yr- 0-Rate Why...