An asset price S is lognormally distributed if:
Answer : D
For the function f(x) =3x-x3 which of the following is true?
Answer : D
Suppose we perform a principle component analysis of the correlation matrix of the returns of 13 yields along the yield curve. The largest eigenvalue of the correlation matrix is 9.8.
What percentage of return volatility is explained by the first component? (You may use the fact that the sum of the diagonal elements of a square matrix is always equal to the sum of its eigenvalues.)
Answer : B
An indefinite integral of a polynomial function is
Answer : D
A 2-year bond has a yield of 5% and an annual coupon of 5%. What is the Macaulay
Duration of the bond?
Answer : B
You intend to invest $100 000 for five years. Four different interest payment options are available. Choose the interest option that yields the highest return over the five year period.
Answer : C
If the annual volatility of returns is 25% what is the variance of the quarterly returns?
Answer : B
Let f(x) = c for x in [0,4] and 0 for other values of x.
What is the value of the constant c that makes f(x) a probability density function; and what if f(x) = cx for x in [0,4]?
Answer : D
Which of the following can be used to evaluate a regression model?
(i) Magnitude of R2
(ii) Magnitude of TSS (total sum of squares)
(iii) Tests for statistical significance
(iv) Sign and magnitude of each regression parameter
Answer : C
You are given the following regressions of the first difference of the log of a commodity price on the lagged price and of the first difference of the log return on the lagged log return. Each regression is based on 100 data points and figures in square brackets denote the estimated standard errors of the coefficient estimates:
Which of the following hypotheses can be accepted based on these regressions at the 5% confidence level (corresponding to a critical value of the Dickey Fuller test statistic of
2.89)?
Answer : D
What is the sum of the first 20 terms of this sequence: 3, 5, 9, 17, 33, 65,…?
Answer : C
Evaluate the derivative of exp(x2 + 2x + 1) at the point x = -1
Answer : B
Simple linear regression involves one dependent variable, one independent variable and one error variable. In contrast, multiple linear regression uses
Answer : A
Consider two securities X and Y with the following 5 annual returns:
X: +10%, +3%, -2%, +3%, +5%
Y: +7%, -2%, +3%, -5%, +10%
In this case the sample covariance between the two time series can be calculated as:
Answer : B