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

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

Impulse Response function (IRF), My question is that when we use Impulse re...

My question is that when we use Impulse response function and how to use it. Is it used along with some other methodology. What is the meaning of graphs of IRF?

Labor economics, Ask question #Minimum unions tie the hand of management an...

Ask question #Minimum unions tie the hand of management and inhibit efficient decision making100 words accepted#

Heteroscedasticity, what are the test for heteroscedasticity?

what are the test for heteroscedasticity?

Calculate wage differential, Suppose years of schooling, s , is the only v...

Suppose years of schooling, s , is the only variable that affects earnings. The equations for the weekly salaries of male and female workers are given by w m = 500 + 100 s and

Equilibrium conditions for three related markets , The equilibrium conditio...

The equilibrium conditions for three related markets are given by:  (a)Write this system of equations in matrix notation of the form  Ax = B.  (b)  Find the determinant

Explain cournot and collusion curve , For each pair of terms/concepts, defi...

For each pair of terms/concepts, define each term/concept and explain the relationship between them. The ideal answer is three sentences. One for each definition and one for the re

Econometrics, remedial measure of multicolinearity

remedial measure of multicolinearity

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