Econometric techniques analyse daily prices, Econometrics

Assignment Help:

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


Related Discussions:- Econometric techniques analyse daily prices

SURVIVOR ISLAND.., DISCUSS THE CENTRAL ECONOMIC PROBLEM FACING THIS GROUP O...

DISCUSS THE CENTRAL ECONOMIC PROBLEM FACING THIS GROUP OF SURVIVORS

Profit Electron, Calculate the incremental profit Electron Control would ea...

Calculate the incremental profit Electron Control would earn by customizing its instruments and marketing directly to end users.

Nonlinear specification and dummy variables, Suppose you have a model of ca...

Suppose you have a model of capital investment by a U.S. rm. Imagine that yt, x1t and x2t are annual measures of investment, lagged pro t, and lagged capital stock, all in real do

Auto correlation, if there is no autocorrelation what will be done

if there is no autocorrelation what will be done

Estimate a var involving equations, Question 1: a)  Explain what is a V...

Question 1: a)  Explain what is a VAR giving an example both in the form of an equation and matrix. Discuss its benefits and limitations. b)  How can we estimate a VAR invol

Calculate the elasticity of the premium, You are a property insurer and one...

You are a property insurer and one of your potential clients, whose current wealth is $450,000, wants to insure her $250,000 house.  The chances of the house burning down in any gi

What is the problem with this regression, (a) Describe all tests that you n...

(a) Describe all tests that you need to undertake prior to working with time series data. (b) Consider the following regression result: Standard Errors: (6.7525)

Factors of production, how can the factors of production be occupationally ...

how can the factors of production be occupationally mobile

Crude oil, A shok question #Minimum 100 words accepted# when did...

A shok question #Minimum 100 words accepted# when did the most recent shock to the crude oil market occur

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd