Conducting empirical research on Financial Econometrics
Topic: Stock returns and volatility
The assignment involves collecting appropriate financial and/or macroeconomic time series data corre-sponding to a topic of your choice and conducting a research project. You can collect the data from any source, e.g. Datastream, Global Financial Database, IMF, WRDS, Yahoo, etc.
You are required to analyse and interpret the results obtained, undertake any further sensible aanalysis, and communicate clearly the results of your econometric analysis.
The assignment must:
1. Be an empirical analysis using techniques studied as part of the course unit. It should include the appropriate descriptive statistics, modelling and diagnostic testing. Such as:
-Estimation Methods I : Ordinary Least Squares (OLS)
-Univariate Time Series Analysis I : Stationary Stochastic Processes
-Univariate Time Series Analysis II : Nonstationary
-Univariate Time Series Analysis III : Trends and Testing for a Unit Root
-Univariate Time Series Analysis IV : Univariate ARCH models
-Estimation Methods II : Maximum Likelihood (ML)
-Topics in Financial Econometrics I : Multivariate Time Series : Vector Autoregression (VAR) Models
-Topics in Financial Econometrics II : Error Correction Models and Cointegration
2. Identify what conclusions, if any, are possible given the current state of the literature, and seek to identify the strengths and weaknesses of that literature. You should also indicate the extent of your contribution [be it different techniques or different data] to furthering our understanding of this literature.
3. You should familiar with the software EViews and generate some analysis includes at least the following Modelling:
-Univariate Time Series Modelling
4. You should include all material in the main text and avoid the use of appendices.
5. Page limit: 15 pages (Double space with a font size of 12). Finish in 7 Days.
I will support a preliminary reading list including 5 journals,
please use them as more or less for the assignment, and add more references. Please take the job if you got a Master degree or PHD degree in Finance, Management or Economics.