Introductory Econometrics for Finance
Question # 00539718
Posted By:
Updated on: 06/04/2017 01:16 AM Due on: 06/04/2017
Problem of Introductory Econometrics for Finance. Models we have learned including OLS, AR(1), ARCH, GARCH, EGARCH, ARMA.
Suppose you are given data on two shares (McDonald’s and Burger King, for example) and asked to examine the possibility of a pairs trade (i.e. buying one and selling the other). Outline how you would test the viability of this trade. Describe any models you would estimate and any hypothesis tests you would carry out.
-
Rating:
/5
Solution: Introductory Econometrics for Finance