Search results

  1. brian.field

    Test Coverage of Topic 4?

    It seems to me that the important material from this topic is primarily associated with VaR, Option Pricing, and Fixed Income...which is really only 3 of the assigned readings.....i.e., Reading 21 for VaR = Allen, Reading 22 for Binomial and Black Scholes = Hull, and Reading 23 for Fixed Income...
  2. brian.field

    ONE MORE WEEK! GOOD LUCK EVERYONE!

    Wishing everyone the best of luck for the exam....it's crunch time! Best, Brian
  3. brian.field

    moments of normal distribution

    I may be slightly non-technical here but I'll give it a try. The normal distribution DOES have higher order moments. Indeed, it has an infinite number of moments, as do (most) continuous distributions. The unique characteristic of the normal distribution, although not unique to the normal...
  4. brian.field

    P1.T3.152.1

    Anyone else have a problem with the way this problem is worded? C or D seem sufficient, particularly since we were told (weren't we told in one of the videos?) to not worry about direction, so to speak. Am I way off? Thanks, Brian
  5. brian.field

    Here's an easy one.....for you?

    David, You have a well-developed ability to offer positive reinforcement in your responses....your efforts are appreciated! Thanks for your kind words...(maybe I'll forward this feedback to my boss! kidding...) Thanks for your response. Brian
  6. brian.field

    Here's an easy one.....for you?

    I am annoyed that I cannot follow the Treasury Bond quotes on Hull's page 133. Hull states that 124.150 is equal to 124 and 15.0/32. I get this. He later states that 120-105 is equal to 120 and 10.5/32. I get this too. Now, Hull then states that 117-157 is equal to 117 and 15.75/32. How...
  7. brian.field

    Error in Notes and Video related to F Statistic?

    David, I noticed that the denominator in the heteroskedacticity F-statistic is 1 - rho^2 in the reference text but you indicate that it is 1 - 2*rho in both your notes and in your video. Which expression is correct? Thanks. Brian
  8. brian.field

    Error in Miller's illustration of leptokurtosis

    Ok, the image below presents my understanding of Leptokurtosis....(and the corresponding inconsistency with the t-distribution.) David - any thoughts?
  9. brian.field

    Error in Miller's illustration of leptokurtosis

    The pages I quoted were associated with the second edition but I believe the pictures are the same in both editions, but the page numbers may differ. Also, what you are saying seems reasonable, irenab (thank you). Still, I think the illustration was meant to compare a normal distribution...
  10. brian.field

    Error in Miller's illustration of leptokurtosis

    A distribution with positive (excess) kurtosis (leptokurtosis) is MORE peaked than a normal distribution with lower probabilities at (around) plus and minus 1 standard deviation AND more probabilities in the tails, i.e., fatter tails than the normal distribution. The picture presenting kurtosis...
  11. brian.field

    Example of skewed distribution with unexpected ordering of mean, median, and mode.

    Miller mentions at the bottom of page 50 that many practitioners inaccurately believe that the ordering of the mean, median, and mode is just that (from left to right) for negatively skewed distributions (and mean, median, and mode (from right to left) for right skewed or positively skewed...
  12. brian.field

    Future and Options Core Readings

    These readings are available in the GARP texts....you may be able to find them (individually) a bit cheaper on E-Bay or elsewhere online. I think it is pretty unfortunate the GARP is no longer selling individual readings. I would also argue that (since this particular reading is introductory,)...
  13. brian.field

    F statistic

    Ahhh....that makes sense. I appreciate the prompt (and thorough) response. Thanks again. Brian
  14. brian.field

    F statistic

    I feel terrible asking what I assume is an elementary question, but alas, this is why I am here. David - I do not believe that you address the F statistic's representation as ESS/k / RSS/n-k-1 explicitly anywhere in the S and W videos. Is there some reason this was not covered? Is it...
  15. brian.field

    Linearity of Regression Equation

    Thank you - I need to synthesize this a bit. I appreciate your thoughtful response!
  16. brian.field

    Omitted Variable Bias

    This notion of OVB is confusing to me. In order for OVB to be present, the regression equation must omit a variable that is correlated with a variable that is included in the regression equation and also, the dependent variable and omitted variable must be dependent, essentially. So, I...
  17. brian.field

    Linearity of Regression Equation

    Interestingly, I have seen that a regression equation is linear if and only if it is linear in the parameters....i.e., if it is linear in the coefficients. (I have also seen definitions of linear regression equations requiring linearity in both the coefficients and the independent variables...
Top