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Exercises

Crisis structural break: I

You have already seen in Chapters 1 and 2 that the global financial crisis changed investor perception regarding market risk, and influenced investor decisions on portfolio allocations to manage risk.

Now you'll have a chance to investigate whether something "structural" changed between 2005 and 2010. In this exercise you can see if quarterly minimum portfolio values and mean return volatility time series together identify a structural break.

You'll check this first with a simple visualization of the data. Plot the quarterly minimum portfolio returns port_q_min and mean return volatility vol_q_mean to identify a date where a structural break may have occurred.

คำแนะนำ

100 XP
  • Plot the quarterly minimum portfolio returns.
  • Plot the quarterly mean volatility of returns.
  • Identify a date where a structural break may have occurred.