A Solution Manual To The Econometrics Of Financial John Y. Campbell_ Andrew W. Lo_ A. Craig MacKinlay -

A Solution Manual to
The Econometrics of Financial Markets

Petr Adamek
John Y. Campbell
Andrew W. Lo
A. Craig MacKinlay
Luis M. Viceira
Author address:

MIT Sloan School, 50 Memorial Drive, Cambridge, MA 02142{1347

Department of Economics, Harvard University, Littauer Center, Cam-
bridge, MA 02138

MIT Sloan School, 50 Memorial Drive, Cambridge, MA 02142{1347

Wharton School, University of Pennsylvania, 3620 Locust Walk, Philadel-
phia, PA 19104{6367

Department of Economics, Harvard University, Littauer Center, Cam-
bridge, MA 02138

,
, Contents
List of Figures v
List of Tables vii
Preface 1
Problems in Chapter 2 3
Solution 2.1 3
Solution 2.2 3
Solution 2.3 3
Solution 2.4 3
Solution 2.5 4
Problems in Chapter 3 9
Solution 3.1 9
Solution 3.2 10
Solution 3.3 10
Solution 3.4 11
Solution 3.5 13
Solution 3.6 13
Solution 3.7 19
Problems in Chapter 4 23
Solution 4.1 23
Solution 4.2 23
Solution 4.3 24
Problems in Chapter 5 25
Solution 5.1 25
Solution 5.2 26
Solution 5.3 27
Solution 5.4 27
Problems in Chapter 6 29
Solution 6.1 29
Solution 6.2 30
Solution 6.3 30
Problems in Chapter 7 33
Solution 7.1 33
Solution 7.2 34
Solution 7.3 34
Solution 7.4 35
Solution 7.5 36
iii

, iv CONTENTS

Problems in Chapter 8 37
Solution 8.1 37
Solution 8.2 39
Solution 8.3 41
Problems in Chapter 9 45
Solution 9.1 45
Solution 9.2 45
Solution 9.3 46
Solution 9.4 48
Problems in Chapter 10 51
Solution 10.1 51
Solution 10.2 52
Problems in Chapter 11 55
Solution 11.1 55
Solution 11.2 58
Problems in Chapter 12 61
Solution 12.1 61
Solution 12.2 62
Solution 12.3 62