hypothesis-testing

Learning objectives: Construct, apply, and interpret hypothesis tests and confidence intervals for a single regression coefficient in a regression. Explain the steps needed to perform a hypothesis test in a linear regression. Describe the relationship between a t-statistic, its p-value, and a...

Learning objectives: Construct an appropriate null hypothesis and alternative hypothesis and distinguish between the two. Differentiate between a one-sided and a two-sided test and identify when to use each test. Explain the difference between Type I and Type II errors and how these relate to...

Learning objectives: Differentiate between a one-tailed and a two-tailed test and identify when to use each test. Interpret the results of hypothesis tests with a specific level of confidence. Demonstrate the process of backtesting VaR by calculating the number of exceedances. Questions...

Question 4: Suppose you invest in a product whose returns follow a uniform distribution between −40% and +60%. What is the expected return? What is the 95% VaR? The expected shortfall? Answer: The expected return is +10%. The 95% VaR is 35% (i.e., 5% of the returns are expected to be worse than...