Heteroscedasticity

Describe the purpose of a Vector Autoregression (VAR), and estimate and interpret a VAR model describing the dynamic relationship between returns on the market and returns on the industry portfolios.

Assignment Question 1 Download 20 years’ worth of monthly data for the period January 2002 to December 2021 on a company of your choice from the CRSP database via WRDS, and download the Fama-French 3 Factors from the Kenneth French Data Library or from WRDS. You can access the Kenneth French Data Library directly here: […]

Identify statistical problems associated with regression analysis and their implications for the interpretation of the results

The task is to conduct an empirical research project and to write a project report. Paper Details This is a methods of financial data analysis BSP420 This assignment is intended to assess your ability to: 1. Download and manage data from an online source. 2. Perform regression analysis using EViews. 3. Interpret the results of […]

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