Econometric techniques analyse daily prices, Econometrics

Choose a share from a market such as LSE, NYSE, NASDAQ, etc. [Data sources could be Datastream, Google Finance or others]. Prepare a report which involves the following aspects:

a) Using appropriate econometric techniques analyse daily prices, returns and volatility of your chosen share.

b) As a result of your analysis using the first three-quarters of the sample, forecast the returns of your stock share for the forecasting horizon of the last quarter of the sample. Analyse the precision of your forecasts. Forecast your volatility risk as well, using the same sample.

c) Choose some other series (no more than 3) which could be cointegrated with the series of prices of your chosen stock share. Identify the cointegrated relationships by appropriate tests, and estimate their long run relationships.

NB Before you begin preparing your report ensure that you seek approval for the share you have chosen using the procedure outlined under Important Notes below.

What I have covered during the lectures are
1. Dummy variables
2. Limited Dependent variables
3. Large Sample Theory
4. IV and GMM
5. Univariate Time Series, ARIMA
6. Nonstationarity - Unit root tests
7. Cointegration, Engle-Granger
8. VAR Models
9. Cointegration in System
10. Volatility Models

Posted Date: 3/21/2013 6:33:56 AM | Location : United States







Related Discussions:- Econometric techniques analyse daily prices, Assignment Help, Ask Question on Econometric techniques analyse daily prices, Get Answer, Expert's Help, Econometric techniques analyse daily prices Discussions

Write discussion on Econometric techniques analyse daily prices
Your posts are moderated
Related Questions
You have collected data for 104 countries to address the difficult questions of the determinants for differences in the standard of living among the countries of the world. You rec

Profit maximization is theoretically the most sound but practically unattainable objective of business firms. In the light of this statement critically appraise the Baumol’s sales

what meaning of limit pricing theory and its importance in industrial economics?

i) Briefly distinguish between the Cournot duopoly model and that of Stackelberg.     ii) Suppose the  inverse  market demand curve for  a telecommunications equipment is P = 10

Give the mathematical formula of calculate the slope of a line?

The inverse demand and supply functions for a product are given as:  where P  is  price, Q  is  quantity  and  the  subscripts  d  and  show demand and supply, respectiv

I have a few econometric that require the use of R to generate the answer

The attached Eviews results are for a model who has a professional career (dependent variable = pro (1 if respondent has a professional career, 0 otherwise). The data is the 1979 c

What is the ADF max test?

Consider the following short run production function. Q 0 15 35 60 90 115 135 150 16