---

Cherif Guermat

---

Cherif Guermat BA Algiers, PhD Exon Contact Office: Room 53 Streatham Court Phone (Personal): (01392) 263237 Fax: (01392) 263242 email: C.Guermat@exeter.ac.uk

Financial Econometrics

Last Year’s Examination Paper

Model Answers

This Year’s Examination Article:

You will need to read the following journal article for the May/June examination. Bring an un-annotated copy of this article to the examination, so you read relevant sections of the paper to answer specific questions on that paper.

Mark Freeman and Cherif Guermat (2006), “The Conditional Relationship between Beta and Returns: A Reassessment,” Journal of Business Finance and Accounting, vol. 33(7)&(8), pages 1213-1239. (Downloadable from the Electronic Library).

Important:

(1) Annotated copies will not be allowed in the examination room. So please make sure you take copies without markings or writing on them.

(2) This paper is subject to confirmation.

Assignment Question (Submission Deadline is Friday 7^th of May)

Module Handbook

Lectures Slides	Lecture 1	Lecture 2	Lecture 3	Lecture 4	Lecture 5	Lecture 6	Lecture 7	Lecture 8
Additional material	Notes 1 Intro to RATS	SpotFutures: - RATS Program - Data	Notes 3	Notes 4	Notes 5	Notes 6	Notes 7
Exercises	Exercise 1	Exercise 2	Exercise 3	Exercise 4	Exercise 5	Exercise 6	Exercise 7
Solutions	Solutions 1	Solutions 2	Solutions 3	Solutions 4	Solutions 5	Solutions 6	Solutions 7
RATS programme	RATS (basics)	Exercise 2	Exercise 3	Rats_Solution_4 NLLS.PRG	Rats_Solution_5 BJIDENT	Rats_Solution_6 ARCH GARCH EGARCH DIAGNOST	Basic Simul Basic Boot Dickey-Fuller	Multinom-Logit Ordered-Probit
RATS data	Excel data file Text data file	UK IPO data		NLLS Data	Data ex-5	Data ex-6 (xls) Data ex-6 (123)		M-logit data (123) Ord-probit data (xls)

Other Information.

Research Supervision

• Rajiha A.A. Ali, PhD in Economics.
• Santhita Prasert, PhD in Finance.

Research Interests

• Financial econometrics.
• Behavioural finance and risk measurement.
• International business.

Some Recent Publications

• M. Freeman and C. Guermat (2006), “The conditional relationship between beta and returns: a reassessment”, Journal of Business Finance & Accounting, 33(7) & (8), 1213–1239, September/October. (PDF)

• R.D.F. Harris and C. Guermat (2006), “Bias in the Estimation of Non-Linear Transformations of the Integrated Variance of Returns”, Journal of Forecasting, 25(7), 481-494, November. (PDF)

• K. Mellahi and C. Guermat (2004), “Does age matter? An empirical examination of the effect of age on managerial values and practices in India”, Journal of World Business, Volume 39, No.2, May, pp.199-215.

• K. Mellahi, C. Guermat and H. Bortmani (2003), “Motives for FDI in Gulf Co-operation Council State: The Case of Oman”, Thunderbird International Business Review, Volume 45, Number 4, July-August, pp.431-446.

• K. Hadri, C. Guermat, and J. Whittaker (2003), “Estimation of Technical Inefficiency Effects Using Panel Data and Doubly Heteroscedastic Stochastic Production Frontiers”, Empirical Economics, No.28, pp.203-222.

• K. Hadri, C. Guermat, and J. Whittaker (2003), “Estimating Farm Efficiency in the Presence of Double Heteroscedasticity Using Panel Data”, Journal of Applied Economics,  Volume VI, No.2, pp.255-268.

• C. Guermat and R.D.F. Harris (2002), “Forecasting Value-at-Risk Allowing for Time Variation in the Variance and Kurtosis of Portfolio Returns”, International Journal of Forecasting, Volume 18, Issue 3, July-September, pp.409-419.

• C. Guermat and R.D.F. Harris (2001), “Robust Conditional Variance Estimation and Value-at-Risk”, Journal of Risk, Vol.4., No.2, pp.25-41.

Working Papers (available in PDF)

• C. Guermat, R.D.F. Harris and N. Hashimzade (2004), “Rules versus Discretion in Committee Decision Making: An Application to the 2001 RAE for UK Economics Departments”

• C. Guermat, A.T. Al-Utaibi and J.P. Tucker (2003), “The Practice of Zakat: An Empirical Examination of Four Gulf Countries”, Discussion Papers in Economics, 03/03, University of Exeter. Arabic version

• C. Guermat, K. Hadri and C. C. Kucukozmen (2003), “Forecasting Value at Risk in Emerging Arab Stock Markets”, Discussion Papers in Economics, 03/02, University of Exeter.

• C. Guermat and K. Mellahi (2002), “Management Values and Practice: Examining the Impact of Some Situational Factors in India”, Discussion Papers in Business and Management 02/03, University of Exeter.

• C. Guermat and K. Mellahi (2002), “What Motivates Foreign Direct Investment? The Case of Oman”, Discussion Papers in Business and Management 02/01, University of Exeter.

• C. Guermat and R.D.F. Harris (2001), “Robust Conditional Variance Estimation and Value-at-Risk”, Discussion Papers in Accounting and Finance, 01/06, University of Exeter.

• K. Hadri, C. Guermat, and J. Whittaker (1999), “Doubly heteroscedastic stochastic production frontiers with technical inefficiency effects. Application to panel data of English cereal farms”, Discussion paper in Economics, 99/08, University of Exeter. Discussion paper in economics, Department of Economics and Accounting, University of Liverpool, no.9903, December.

· C. Guermat and K. Hadri (1999), “Backpropagation neural network versus translog model in stochastic frontiers: A Monte Carlo comparison”, Discussion Papers in Economics, 99/16, University of Exeter.

· C. Guermat and K. Hadri (1999), “Heteroscedasticity in stochastic frontier models: A Monte Carlo analysis”, Discussion Papers in Economics, 99/14, University of Exeter.