In this project, you are required to carry out an applied time-series econometric work, approximately 3000 words (appendix and computer outputs are not counted). Using data available in Excel , you will obtain company share prices. You are required to check time series for stationarity by applying the formal unit root tests such as ADF test. Then you have to estimate one of the time series dynamic models such as: ARMA or ARIMA, Engle-Granger Two Stage method to cointegration, ARDL, Error Correction Model, VAR, Granger Causality, VECM, ARCH or GRACH and so on. Is advisable to use ARCH. You also need to demonstrate some evidence of experimentation, e.g. dropping insignificant variables, imposing restrictions, conducting stability tests, comparing and contrasting the short-run and long-run coefficients, etc. It is recommended that your project should consist of the following sections:
1. Introduction
This section should indicate the aim of this project. It may also present briefly the contents of the other sections of this project.
1. Introduction
This section should indicate the aim of this project. It may also present briefly the contents of the other sections of this project.
Click Here To Get More On This Essay!!!
2. A Brief Literature Review
This section should explain the rationale and findings behind studies of stock price behaviour. Some good database include Journal of Finance, Journal of Financial Economics, Journal of Business, Journal of Financial and Quantitative Analysis, Financial Management and Journal of Empirical Finance in JSTOR, Web of Science and Blackwell.
3. Econometric Methodology
This section should provide a detailed analysis of the methodology that this project adopts. You should explain any relevant concept such as stationarity, stationarity tests, ARMA, ARIMA, ARDL, single or multiple cointegration techniques, error correction, vector error correction, GARCH procedures, stability tests, etc.
4. Empirical Results
Carry out modern time series econometric techniques along with statistical tests and econometric procedures. Try to be creative and innovative. Compare and contrast your results with previous empirical results. Present your econometric results with summary tables rather than the full print outs of the software you use.
5. Conclusion :This section should provide the discussion of your results from econometric and policy points of view. Limitations of this research should be revealed. There should be also recommendations for future research.
Appendices : This section should contain the full raw data set with their descriptions and their sources and transformations of variables in addition to the full print outs of your econometric analyses and reference list. We advice to use STATA.
2. A Brief Literature Review
This section should explain the rationale and findings behind studies of stock price behaviour. Some good database include Journal of Finance, Journal of Financial Economics, Journal of Business, Journal of Financial and Quantitative Analysis, Financial Management and Journal of Empirical Finance in JSTOR, Web of Science and Blackwell.
3. Econometric Methodology
This section should provide a detailed analysis of the methodology that this project adopts. You should explain any relevant concept such as stationarity, stationarity tests, ARMA, ARIMA, ARDL, single or multiple cointegration techniques, error correction, vector error correction, GARCH procedures, stability tests, etc.
4. Empirical Results
Carry out modern time series econometric techniques along with statistical tests and econometric procedures. Try to be creative and innovative. Compare and contrast your results with previous empirical results. Present your econometric results with summary tables rather than the full print outs of the software you use.
5. Conclusion :This section should provide the discussion of your results from econometric and policy points of view. Limitations of this research should be revealed. There should be also recommendations for future research.
Appendices : This section should contain the full raw data set with their descriptions and their sources and transformations of variables in addition to the full print outs of your econometric analyses and reference list. We advice to use STATA.
No comments:
Post a Comment