Maurice Tutor

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Algebra,Applied Sciences,Biology,Calculus,Chemistry,Economics,English,Essay writing,Geography,Geology,Health & Medical,Physics,Science Hide all
Teaching Since: May 2017
Last Sign in: 307 Weeks Ago, 5 Days Ago
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  • MCS,PHD
    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

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  • Professor
    Phoniex University
    Oct-2001 - Nov-2016

Category > Applied Sciences Posted 29 Jul 2017 My Price 9.00

correlation

11.7         Suppose that in Problem 10.15 the correlation between the S&P 500 index (measured in dollars) and the FTSE 100 index (measured in sterling) is 0.7, the correlation between the S&P 500 index (measured in dollars) and the dollar-sterling exchange rate is 0.3, and the daily volatility of the S&P 500 Index is 1.6%. What is the correlation between the S&P 500 index (measured in dollars) and the FTSE 100 index when it is translated to dollars? ( For three variables X, Y, and Z, the covariance between X + Y and Z equals the covariance between X Y and plus the covariance between Y and Z.)

11.8             Suppose that two variables and have uniform distributions where all values between 0

 

and 1 are equally likely. Use a Gaussian copula to define the correlation structure between and with a copula correlation of 0.3. Produce a table similar to Table  considering values of 0.25, 0.50,  and  0.75  for   and  .  A  spreadsheet  for  calculating  the  cumulative  bivariate   normal distribution is on the author’s website: www.rotman.utoronto.ca/~hull.

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Maurice Tutor
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Status NEW Posted 29 Jul 2017 09:07 PM My Price 9.00

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