代写Empirical Finance: Course Work 1代写数据结构语言

日期：2025-02-12 04:54

Empirical Finance: Course Work 1

Your team has been recently hired by Imperial Global Asset Management, and your task is to run a few exercises.  Below, you find the guidelines about your assignments, but you can amend the specifications if you have plausible economic arguments. Finally, write a brief investment report of about 3,000 words (this is just indicative) as a financial economist. Describe what you have done and present the key results.  There is no need to write any formulas.  You can also be creative and report whatever may convince an investor to bet on your strategy. Whether a strategy works or not, try to come up with an economic story that explains why this is the case.  Last but not least, make any assump- tions you need, but please mention them. You do not need to submit codes and/or excel files.

Data

You have collected the following long-span data from Global Financial Data:

• Stock market index for both the US and Japan,

• Short-term Treasury yield for both the US and Japan,

• Long-term Treasury yield for both the US and Japan,

• GBPUSD exchange rate.

Exercise 1 [30%]

Take data for the US (i.e., stock market index, short-term yield, and long-term yield) and answer the following questions.

Questions

1. Present and comment their summary statistics.

2. Present and comment the ACF and PACF.

3. Identify the appropriate time-series specification, and estimate the key parameters. Present and discuss your results.

Exercise 2 [30%]

Consider the following models:

1. Benchmark model

yt  = α + εt

2. Competing model

yt  = α + βxt−1 + εt

where

• yt is the monthly stock return between t − 1 and t,

• xt−1  is the term spread (long-term yield minus short-term yield) observed at time t − 1.

3. Use an expanding window (start with 10 years of data) as well as a 10-year rolling window to generate out-of-sample (OOS) forecasts for both models using US data

Questions

1. Compute the OOS R-squared or Ro(2)os,

2. Test the null hypothesis of equal predictive ability using the Clark and West test.

3. Present and discuss your results.

Exercise 3 [40%]

Consider the following models:

1. Benchmark model for stock returns

yt  = α + εt

2. Competing model for stock returns

yt  = α + βxt−1 + εt

3. For exchange rate returns, always use this model

et  = α + βzt−1 + εt

where

• yt is the monthly stock return between t − 1 and t,

•  et is the monthly exchange rate return between t − 1 and t,

• xt−1  is the term spread (long-term yield minus short-term yield) observed at time t − 1.

• zt−1 is the interest rate differential (US short-term yield minus Japan short-term yield) observed at time t − 1.

4. Use an expanding window (start with 10 years of data) as well as a 10-year rolling window to generate out-of-sample (OOS) forecasts using all data.

Questions

Consider a portfolio consisting of the US stock market, Japan stock market, and the US short-term bond (a proxy for the riskless rate).

• Set σ *   =  10% per annum as target volatility, and rebalance your portfolio every month using your OOS forecasts.

• Report portfolio mean and volatility in % per annum, SR and SO per annum,

• Report the performance fee P in basis points per annum,

• Plot the cumulative returns, portfolio weights, and the one-year rolling SR.