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

Gravity model, how to calculate trade potential on eviews?

how to calculate trade potential on eviews?

Human Resources Management, Effective Human Resources Management Depends Up...

Effective Human Resources Management Depends Upon Sound Reward System Essays and Term Papers

Microeconomic, what is indirect utility function?

what is indirect utility function?

Calculate the sample mean-variance-skewness , The tab-delimited text file c...

The tab-delimited text file contains daily stock prices for the Brazilian petroleum company Petrobras from 31 December 2008 to 31 December 2009. The data were obtained from yahoo f

Homoscedasticity and heteroscedasticity, Probelm: (a) Differentiate bet...

Probelm: (a) Differentiate between homoscedasticity and heteroscedasticity. (b) Outline the reasons why the variances of disturbance term may vary. (c) Given the 3 observ

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

if there is no autocorrelation what will be done

F testing, given the formula for f statistic prove that by using the f stat...

given the formula for f statistic prove that by using the f statistic you can derive this formula

Determine the demand functions, The town of Dusty View, Saskatchewan has on...

The town of Dusty View, Saskatchewan has only two residents - Justin and Sarah - and has a water supply shortage in the summer. The municipal water utility charges a break even pri

Regression Analysis, #qu3. People educational achievement is affected, amon...

#qu3. People educational achievement is affected, among other factors, by the demographic characteristics of their households; the following multiple regression model was estimated

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