Financial Econometrics Archives

Compare this value to the sample variance . Are the two values different and – if yes – how do they differ?

Posted on September 26, 2022 by Assessments

Financial econometrics Ex 3 Complete the following set of exercises. 1. From the data provided, select/generate a random sample of 355 companies. From now on, forget about the raw data set, and work only with the companies in this sample. 2. Generate a data series with the same number of observations as the return-data series. […]

Explain the concepts of non-stationarity and cointegration, and how are they connected. Illustrate how one can test for cointegration using the two-step Engle and Granger approach.

Posted on August 10, 2021August 10, 2021 by Ambrose

Financial Econometrics QUESTION 1. Conduct all your statistical tests at the 5% level for this question. You are given the quarterly data of U.K. Consumer Price Index (CPI) over the period 1960Q1 to 2019Q2. The data file name is “CPI.xls”. Calculate the logarithmic change of the price series, i.e., ∆cpit= cpit – cpit-1, where cpit […]

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Tag: Financial Econometrics

Compare this value to the sample variance . Are the two values different and – if yes – how do they differ?

Explain the concepts of non-stationarity and cointegration, and how are they connected. Illustrate how one can test for cointegration using the two-step Engle and Granger approach.