Background and Instructions In this exam, you will analyze a monthly macro-financial dataset covering the period from January 2000 to December 2025. The dataset includes three key variables designed to reflect realistic interactions between financial conditions, economic activity, and risk dynamics: – Financial Returns: monthly returns of a broad financial asset index, characterized by time-varying volatility. – Economic Activity Indicator: a monthly measure of real economic conditions, such as industrial production growth or a business activity index. – Risk Conditions Index: a monthly indicator capturing changes in financial or macroeconomic risk, such as credit conditions or uncertainty in the economy. The data will be structured with a training period covering up to June 2025 , while the last six months ( July 2025 to December 2025 ) will serve as the test period for evaluating your forecasts. This exam is divided into three distinct parts, each focusing on a different aspect of time series modeling: – ARMA–GARCH Modeling You will model the financial returns series (*Financial Returns*) to capture both mean dynamics and volatility clustering. – Multivariate Modeling (VAR) You will explore interactions between *Financial Returns*, *Economic Activity Indicator*, and *Risk Conditions Index* using multivariate time series techniques. – Forecasting You will generate forecasts for the test period and compare model performance across univariate and multivariate approaches. This exam will assess how effectively you apply Time Series Analysis to macro-financial data, validate models thoroughly, interpret dynamic relationships, and present findings in a clear and insightful manner. Please note: You are required to submit your final analysis as a PDF file. (Other formats will result in a penalty to the grade.)

The total utility from three skirts is

Peter buys tuna and golf balls. The price of tuna is $2 a can, and the price of golf balls is $1 each. Each month, Peter spends all his income and buys 20 cans of tuna and 40 golf balls. Next month, the price of tuna will rise to $3 a can and the price of golf balls will fall to $0.5 each. Which of the following statements is correct?

Which of the following statements is (are) incorrect? i. If the production of good A is labor intensive, the demand for labor used in the production of good A is likely to be rather inelastic. ii. The steeper the marginal product curve for labor, the less elastic is the firm’s demand for labor. iii. In the case of colluding duopolists in a one-shut game, the dominant strategy equilibrium is for both firms to cheat. iv. If there are two countries, A and B, and two goods, X and Y, and country A has a comparative advantage in the production of X, then country B must have a comparative advantage in the production of Y. v. If countries specialize in goods for which they have a comparative advantage, then some countries will gain and others will lose but the gains will be larger than losses. vi. Trading according to comparative advantage allows all trading countries to consume outside their production possibility frontier. vii. If country A must give up 3 units of Y to produce 1 unit of X and country B must give up 4 units of Y to produce 1 unit of X, then A has a comparative advantage in the production of Y.

Consider a duopoly with collusion. If the duopoly maximizes profit, then

Company A’s Data for Production Cost   Quantity Fixed Cost Variable Cost Total Cost Average Fixed Cost Average Variable Cost Average Total Cost Marginal Cost 0     $55         1             $30 2   $55           3           $130 ∕3   4         $105 ∕4     5   155           6   225           7     370       90 8           60   9     610         10     760           If the market is perfectly competitive market, how many units of output will Company A produce? ____ units. Suppose that the market price is $110.  

Helen runs a restaurant, miles from anywhere. She has a monopoly and faces the following demand schedule for meals: Price (dollars per meal) Quantity demanded (meals per week) $5.00 10 4.50 20 4.00 40 3.50 60 3.00 80 2.50 100 2.00 120 1.50 140 1.00 160 Helen’s marginal cost and average total cost are a constant $2.5 per meal. Which of the following statements is (are) correct? (Using multiple answers form) i. If Helen charges all customers the same price for a meal, she should charge the price at $2.5 and she will sell 100 meals per week. ii. If Helen charges all customers the same price for a meal, she should charge the price at $3.5 and she will sell 60 meals per week. iii. The consumer surplus of all customers who buy a meal from Helen will be equal to $55, and the producer surplus in the market will be equal to $60. iv. The consumer surplus of all customers who buy a meal from Helen will be equal to $225, and the producer surplus in the market will be equal to $0. v. The consumer surplus of all customers who buy a meal from Helen will be equal to $0, and the producer surplus in the market will be equal to $225. vi. If Helen charges all customers the same price for a meal, she should charge the price at $3.00 and she will sell 80 meals per week. vii. There is no consumer surplus in the market, but producer surplus will be equal to $100 in the market.

Which of the following is a distinguishing characteristic of oligopoly?

Which of the following is NOT a legal barrier to entry?

If a 6 percent decrease in the price leads to a 5 percent increase in the quantity demanded, the price elasticity of demand is