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Testing whether spot or futures markets react more rapidly to news Forecasting the correlation between the stock indices of two countries. The list in box 1.1 is of course by no means exhaustive, but it hopefully gives some flavour of the usefulness of econometric tools in terms of their financial applicability. 1.2 Is financial econometrics different from 'economic econometrics' As previously stated, the tools commonly used in financial applications are fundamentally the same as those used in...

Estimating exponential smoothing models using EViews

This class of models can be easily estimated in EViews by double clicking on the desired variable in the workfile, so that the spreadsheet for that variable appears, and selecting Proc on the button bar for that variable and then Exponential Smoothing____The screen with options will appear Estimating exponential smoothing models There is a variety of smoothing methods available, including single and double, or various methods to allow for seasonality and trends in the data. Select Single...

The test of significance approach

Test Rejection Region

Assume the regression equation is given by yt a 3xt ut, t 1, 2, , T. The steps involved in doing a test of significance are shown in box 2.5. Box 2.5 Conducting a test of significance 1 Estimate a, 3 and SE a , SE0 in the usual way. 2 Calculate the test statistic. This is given by the formula test statistic 3 2.30 where 3 is the value of 3 under the null hypothesis. The null hypothesis is H0 3 3 and the alternative hypothesis is H1 3 3 for a two-sided test . 3 A tabulated distribution with...

Estimation and hypothesis testing in EViews example 2 the CAPM

This exercise will estimate and test some hypotheses about the CAPM beta for several US stocks. First, Open a new workfile to accommodate monthly data commencing in January 2002 and ending in April 2007. Then import the Excel file 'capm.xls'. The file is organised by observation and contains six columns of numbers plus the dates in the first column, so in the 'Names for series or Number if named in file' box, type 6. As before, do not import the dates so the data start in cell B2. The monthly...

Isbn13 9780511398483 Isbn13 9780521873062 Isbn13 9780521694681

Cambridge University Press has no responsibility for the persistence or accuracy of urls for external or third-party internet websites referred to in this publication, and does not guarantee that any content on such websites is, or will remain, accurate or appropriate. Preface to the second edition xix 1.1 What is econometrics 1 1.2 Is financial econometrics different from 'economic econometrics 2 1.4 Returns in financial modelling 7 1.5 Steps involved in formulating an econometric model 9 1.6...