Build a regression model with time series errors

Assignment Help Financial Management

Reference no: EM131224745

This problem is concerned with the dynamic relationship between the spot and futures prices of the S&P 500 index. The data file sp5may.dat has three columns: log(futures price), log(spot price), and cost-of-carry (×100). The data were obtained from the Chicago Mercantile Exchange for the S&P 500 stock index in May 1993 and its June futures contract. The time interval is 1 minute (intraday).

Several authors used the data to study index futures arbitrage. Here we focus on the first two columns. Let f_t and s_tbe the log prices of futures and spot, respectively. Consider y_t = f_t - f_t-1 and x_t = s_t - s_t-1. Build a regression model with time series errors between {y_t} and {x_t}, with y_t being the dependent variable.

Reference no: EM131224745

Questions Cloud

Corporate e-mail security : Employees within an organization regularly use company e-mail for exchanging information with people both inside and outside the organization. Because these e-mail messages use the Internet, they render the network vulnerable to external threats. ..

Declare a double variable named dblnum : In the button's click event procedure, declare a double variable named dblNum. Use an assignment statement to assign the contents of the text box to the variable. Then, use an assignment statement to assign the content of the double variable to th..

Business plan to the venture capitalists : GB601 - MBA Capstone - Over the last two quarters since the submission of the business plan to the venture capitalists (lecturer), you have been working hard to grow your business and integrate feedback and learning's.

Which of the following is true of an ethical leader : Diya uses certain principles, rules, and values such as honesty, compassion, and integrity in her daily life to determine what is right or wrong. Which of the following does she employ when making decisions?

Build a regression model with time series errors : Several authors used the data to study index futures arbitrage. - Build a regression model with time series errors between {yt} and {xt}, with yt being the dependent variable.

Six information-gathering techniques : Given that you can use all six information-gathering techniques: (1) document analysis or investigation, (2) conduct interviews and discussion with users, (3) observe the work environment and document business processes

What are some key communication competencies needed : What are some key communication competencies needed in leaders today? Is individual communication more important than group or mass communication? Why or why not?

Identify the two countries that you are comparing with us : Include the table you created to record and compare your data. Summarize the results of your comparison, sharing at least two insights that you gained through this analysis of health and disease in the United States and your two selected countries..

Price elasticity of demand for the good : The current price for a good is $20, and 100 units are demanded at that price. The price elasticity of demand for the good is-1.5. When the price of the good drops by 10 percent to $18, consumer surplus (increases/decreases) by $_____

User Account

All Pages