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1) Use plot of the stock return and consider the Autocorrelation Function to determine the auto-regressive structure of the data and explain why you think the return is stationary.
2) Use the information in (1) to estimate a univariate auto-regressive (AR) model of the return series (at the minimum estimate an AR(1) or AR(2) model).
3) Save the residuals from the model in (1) and use their square to run an auxiliary regression to test for ARCH.
4) Re-estimate the time series model either correcting for ARCH (using the GLS method in the lectures) or by augmenting the model by one or two dummy variables to correct for non-normality (any large shocks in the stock return).
A 100-kW, dc shunt generator, connected to a 220-V main, is belt-driven at 300 r/min, when the belt suddenly breaks and the machine continues to run as a motor, taking 10 kW from t
3) A sine wave oscillator, in effect, converts
A single phase line has an impedance of 8.4 + j11.2 Ω. The line feeds a load consisting of a resistor and an inductor connected in parallel as shown in Figure 1. The load is absorb
N-type semiconductor is an example of (A) Extrinsic semiconductor. (B) Intrinsic semiconductor. (C) Super conductor. (D) Insulators.
Name the switching schemes used in a digital exchange
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The small electronics consultancy company that you work for has been commissioned to design a portable mixed signal heart rate monitor unit for the National Health Service. You hav
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Define Voltage Source Multiplying DAC? Voltage source multiplying DACs use a reference voltage which is switched in or out by the digital data. The converter is so-named becau
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