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

Differentiate between linear and log-linear model, Problem: (a) Differe...

Problem: (a) Differentiate between linear and log-linear model. (b) Distinguish between type I and type II errors. (c) (i) A bulb manufacturer claims that its bulbs last

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

Quantity theory of money , Suppose an economy has the following Real money ...

Suppose an economy has the following Real money demand Function: L(Y,i) = 1000 + 0.3Y - 4000i, where   i is the nominal interest rate paid on non-monetary (financial) assets,

Draw intertemporal budget line, Over the next two years, Susan's income wil...

Over the next two years, Susan's income will be $33,000 in the first year and $33,000 in the second year. She can both borrow and lend money at the 10% of annual interest. (a) W

#simultaneously, #question.Suppose that you have 150 observations on produc...

#question.Suppose that you have 150 observations on production (yt) and investment (it), and you have estimated the following ADL(3,2) model: (1 – 0.5L – 0.1L2 – 0.05L3)yt = 0.7 +

Vecm granger causality block exogenity wald test, please provide literature...

please provide literature on vecm granger causality block exogenity wald test and also tell how to interpret results

Agrilculture based project, visit to a village panchayat for agrilculture b...

visit to a village panchayat for agrilculture based project

Fundamental theorems of welfare economics, 1. What are the two roles that p...

1. What are the two roles that prices play in a competitive economy? How are these two roles related to the Fundamental Theorems of Welfare Economics? 2. The Undercover Economis

Monopoly, suppose only one professor teaches economics at your university, ...

suppose only one professor teaches economics at your university, would you say that this prof is a monopolist who can exact any price from students in the form of readings assigned

Estimation, the demand for blankets has been estimated y^=0.5-1.5x2+3.0x3

the demand for blankets has been estimated y^=0.5-1.5x2+3.0x3

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