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

Public economics, Explain the stages and various coordination mechanisms in...

Explain the stages and various coordination mechanisms involved in policy processes. Discuss various factors that influenced the agenda setting in policy processes

Transportation problems, Process of least cost method and how to do a minim...

Process of least cost method and how to do a minimisation problem

Time series analysis, usefulness of time series in a business with a detail...

usefulness of time series in a business with a detailed explanation

Fundamental of economics, Given the demand function Qd = 650-5P-P2 where...

Given the demand function Qd = 650-5P-P2 where P=10 Find out the price elasticity of demand.

Distributed lag model, how run ditributed lag model and how select lag leng...

how run ditributed lag model and how select lag length?

Models, when is an econometric model said to be simple and naive

when is an econometric model said to be simple and naive

Find the cost of equity and wacc , Outdoor Travel Inc. needs to estimate th...

Outdoor Travel Inc. needs to estimate the cost of capital for the evaluation of capital expenditures. A typical project is financed with 25% debt-to-value ratio (i.e., D/(D+E) = 0.

Course work, estimate the determinants of demand of a firm or several firms...

estimate the determinants of demand of a firm or several firms within a particular industry or country

calculate real and nominal growth rate in gdp, 1. (a) Consider a perfectly...

1. (a) Consider a perfectly competitive industry that produces a total output of 190 units in the long run. Suppose there are n identical firms in the market. Each firm then produc

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