### 金融代写|金融计量经济学代写Financial Econometrics代考|ECMT2130

statistics-lab™ 为您的留学生涯保驾护航 在代写金融计量经济学Financial Econometrics方面已经树立了自己的口碑, 保证靠谱, 高质且原创的统计Statistics代写服务。我们的专家在代写金融计量经济学Financial Econometrics代写方面经验极为丰富，各种代写金融计量经济学Financial Econometrics相关的作业也就用不着说。

• Statistical Inference 统计推断
• Statistical Computing 统计计算
• Advanced Probability Theory 高等概率论
• Advanced Mathematical Statistics 高等数理统计学
• (Generalized) Linear Models 广义线性模型
• Statistical Machine Learning 统计机器学习
• Longitudinal Data Analysis 纵向数据分析
• Foundations of Data Science 数据科学基础

## 金融代写|金融计量经济学Financial Econometrics代考|Real-World Tasks

A professor asks his/her student to test CAPM in Australian context. Assume yourself as the student and perform the task. Then prepare a detailed report of the analysis to be submitted to the professor.

1. A researcher want to test the performance of the CAPM and APT models in crypto markets. Assume yourself as the researcher: perform the mentioned task in detail and develop the analysis report.
2. An analyst is currently evaluating an investment option to invest in the major global currencies. To do so he/she want to test the APT model for making the investment decision. Help him/her to perform the said analysis and prepare the report.
3. A student needs to identify whether there exists size and value patterns in the BSE 500 securities mean excess returns. Help the student to complete his/her project dissertation successfully and satisfactorily.
4. An assistant manager of the Reserve Bank of New Zealand asked a junior working under him/her to prepare a detailed report on “How efficient is Fama and French multifactor models in Australia and New Zealand”? Help the junior in developing the final report for timely submission to the assistant manager of Reserve Bank of New Zealand.
5. There is a disagreement between two market participants that “the CCAPM isn’t Perfect”. So they approach to an expert to clarify it? Assume yourself as that expert and advise them on it with appropriate examples.
6. A researcher want to examine whether financial leverage is an important firm specific factor specially in the emerging markets? The researcher is also interested to check whether financial leverage alone or financial leverage along with other firm specific factors can capture risk-return relationship better. Help the researcher to conduct and complete the analysis satisfactorily.

## 金融代写|金融计量经济学Financial Econometrics代考|Case Studies

To examine the performance of CAPM and Fama-French three factor models in Sri Lankan context. The regressions and GRS test are implemented to examine the asset pricing models performance. The obtained regressions and GRS test estimates are shown below. Based on these obtained estimates comment on the performance of these two asset pricing models.

Data Description:
Colombo Stock Exchange traded securities are used to construct the study portfolios based on the size (market capitalization) and value ( $\mathrm{P} / \mathrm{B}$ ratio) factors by means of the Fama-French (1993) technique. For risk free rate Sri Lankan government 10 years bond are used. S\&P 20 index mean excess returns used as proxy for the market. The study period is between July 2008 and May 2016. All data points are in monthly frequency.
Regression models used are as follows:
CAPM or Fama-French Three Factor Model
$$E\left(r_{i}\right)-r_{f}=\alpha_{i}+\beta_{i m} *\left(r_{m}-r_{f}\right)+\varepsilon_{i}$$
$$E\left(r_{i}\right)-r_{f}=\alpha_{i}+\beta_{i m} *\left(r_{m}-r_{f}\right)+\beta_{i s} *(\text { Size })+\beta_{i v} *(\text { Value })+\varepsilon_{i}$$
Estimates:
CAPM regression estimates for 25 portfolios based on size and value factors.

## 金融代写|金融计量经济学Financial Econometrics代考|Risk Analysis

Risk analysis is the heart of any financial decision-making process. Time series of a variable consists of the data points over time. Time series data of a variable comprises several important information about the variable over time. Original time series data can be decomposed into various components, namely seasonal, trend, and remainder components. Time series can be easily decomposed into its various components by using the STL (Seasonal and Trend decomposition using LOESS) decomposition technique as suggested by Cleveland et al. (1990). The LOESS is a robust technique and its abbreviation stands for the “locally estimated scatter” plot smoothing”. The LOESS is a non-parametric technique used for the smooth curve fitting. The STL decomposes the time series into different components using an additive function as shown below in Eq. 6.1.
$$\text { Timeseries }=\text { Trend }+\text { Seasonal }+\text { Remainder }$$
The STL technique has certain limitations such as it is not efficient enough in handling the trading day or calendar variation automatically. This above limitation can be overcome by using a multiplicative decomposition function as defined in Eq. $6.2$.
$$\text { Timeseries }=\text { Trend } * \text { Seasonal } * \text { Remainder }$$
Thus to analyse the time series, a good knowledge of the essential time series econometrics methods are necessary. The time series econometrics deal with the measurement of the random variables over time. The time series analysis is useful for determining how a variable changes over time. It is also equally important in assessing the impact of the other factors on the study variable over the same time frame. The paragraphs below covered all such essential time series econometrics techniques to deal with the time series data.

## 金融代写|金融计量经济学Financial Econometrics代考|Real-World Tasks

1. 一位研究人员想要测试 CAPM 和 APT 模型在加密市场中的性能。假设自己是研究人员：详细执行上述任务并制定分析报告。
2. 一位分析师目前正在评估一种投资全球主要货币的投资选择。为此，他/她想测试 APT 模型以做出投资决策。帮助他/她进行上述分析并准备报告。
3. 学生需要确定 BSE 500 证券平均超额收益中是否存在规模和价值模式。帮助学生成功并令人满意地完成他/她的项目论文。
4. 新西兰储备银行的一位助理经理让他/她手下的一名初级工作人员准备一份关于“Fama 和 French 多因素模型在澳大利亚和新西兰的效率如何”的详细报告？帮助小学生制定最终报告，以便及时提交给新西兰储备银行的助理经理。
5. 两个市场参与者之间存在分歧，即“CCAPM 并不完美”。所以他们找专家来澄清一下？假设你自己是那个专家，并用适当的例子给他们建议。
6. 研究人员想检查财务杠杆是否是一个重要的公司特定因素，特别是在新兴市场？研究人员也有兴趣检查单独的财务杠杆或财务杠杆与其他公司特定因素是否可以更好地捕捉风险回报关系。帮助研究人员令人满意地进行和完成分析。

## 金融代写|金融计量经济学Financial Econometrics代考|Case Studies

CAPM 或 Fama-French 三因素模型

## 金融代写|金融计量经济学Financial Econometrics代考|Risk Analysis

时间序列 = 趋势 + 季节性 + 余
STL 技术有一定的局限性，例如在自动处理交易日或日历变化方面效率不够。可以通过使用方程式中定义的乘法分解函数来克服上述限制。6.2.

时间序列 = 趋势 ∗ 季节性 ∗ 余

## 有限元方法代写

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## MATLAB代写

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