1. On a series of E-mini S&P 500 futures tick data, compute dollar bars and dollar imbalance bars. What bar type exhibits greater serial correlation? Why?

2. On dollar bar series of E-mini S&P 500 futures and Euro  50 futures:

(a) Apply Section 2.4.2 to compute the {𝜔

(b) Derive the time series of the S&P 500/Euro  50 spread.

(c) Confirm that the series is stationary, with an ADF test.

 

 

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1. On a dollar bar series on E-mini S&P 500 futures,

(a) Apply the Brown-Durbin-Evans method. Does it recognize the dot-com bubble?

(b) Apply the Chu--White method. Does it find a bubble in 2007– 2008?

2. On a dollar bar series on E-mini S&P 500 futures,

(a) Compute the SDFC (Chow-type) explosiveness test. What break date does this method select? Is this what you expected?

(b) Compute and plot the SADF values for this series. Do you observe extreme spikes around the dot-com bubble and before the Great Recession? Did the bursts also cause spikes?

 

 

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1. Offshore accounting services, especially to India, are becoming an increasingly attractive option for many U.S. companies. This shift has led to huge startup and communication costs, and the employment situation is further affected by general downsizing of corporations, as well as an increase in productivity. Are the exports of white-collar jobs to India necessarily a loss for the United States?

2. What is the difference between Rybczynski and the Stolper-Samuelson theorem.

3. What is the difference between Ricardian and Specific Factor model.

4. What is it that North-South trade in manufactures seems to be consistent with the results or expectations generated by the factor-proportions (H-O) theory of international trade, whereas North-North trade is not? Include the types of trade involved.

5. Why the evidence from the East Asia New Industrializing Countries suggests that as international productivities converge, so do international wage levels? What do you think is likely to happen to the relative wages (relative to those in the US) of China in the coming decade? Explain your reasoning based on the Ricardian Model.

6. Discuss the framework of the Specific Factors model in analyzing the distributional effects of international labour migration.

 

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1. Mrs. Mary Atkins, age 66, has been your firm’s client for five years, since the death of her husband, Dr. Charles Atkins. Dr. Atkins had built a successful newspaper business that he sold two years before his death to Merit Enterprises, a publishing and broadcasting conglomerate, in exchange for Merit common stock. The Atkinses have no children, and their wills provide that upon their deaths the remaining assets shall be used to create a fund for the benefit of Good Samaritan Hospital, to be called the Atkins Endowment Fund.

Good Samaritan is a 180-bed, not-for-profit hospital with an annual operating budget of $12.5 million. In the past, the hospital’s operating revenues have often been sufficient to meet operating expenses and occasionally even generate a small surplus. In recent years, however, rising costs and declining occupancy rates have caused Good Samaritan to run a deficit. The operating deficit has averaged $300,000 to $400,000 annually over the last several years. Existing endowment assets (that is, excluding the Atkins’s estate) of $7.5 million currently generate approximately $375,000 of annual income, up from less than $200,000 five years ago. This increased income has been the result of somewhat higher interest rates, as well as a shift in asset mix toward more bonds. To offset operating deficits, the Good Samaritan Board of Governors has determined that the endowment’s current income should be increased to approximately 6% of total assets (up from 5% currently). The hospital has not received any significant additions to its endowment assets in the past five years.

Identify and describe an appropriate set of investment objectives and constraints for the

Atkins Endowment Fund to be created after Mrs. Atkins’s death.

 

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1) Mr. Wiseman has invested a sum of Rs. 2,00,000 in his own business which is a very profitable one. The annual profit earned from his business is Rs. 45000 which includes a sum of Rs 10,000 received as compensation of a part of his business premises. As an alternative to his engagement in his business, he could have invested the money in long term deposit with Bank earning a normal rate of interest of 10% and also could engage himself in employment thereby getting an annual salary of Rs 7200. Considering 2% as fair compensation for the risk involved in the business, calculate the value of goodwill of his business on capitalization of super profits at the normal rate of interest. Ignore taxation.

 

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