Papers on "Co-integration" and similar term paper topics

Paper #047013 :: Co-integration
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A research study using co-integration analysis to study the relationship between the stock index cash and futures market in relation to price discovery.

Written in 2004; 3,752 words; 27 sources; MLA; $ 103.95

Paper Summary:

Co-integration has come to represent an econometric data analysis method that has been utilized to determine the long-run equilibrium relationships among nonstationary economic variables. This paper uses co-integration analysis to determine the relationship between the stock index cash and futures market in relation to price discovery, market stability, and market efficiency. The data for the study was collected from the Athens Derivatives Exchange S.A. (ADEX), with the main data for the study being the returns of the FTSE/ASE-20 futures and spot index. In order to study the relationship between the ADEX stock index cash and futures market in this paper, daily closing price returns of the FTSE/ASE-20 Index are considered for the period from 3 January 2000 to 27 July 2003. The paper includes several graphs and tables.

Paper Outline:
Data
Methodology
OLS Results
Co-integration Results
References

From the Paper:

"GARCH modeling represents an important data analyses procedure as it provides a means of further understanding and modeling volatility, taking into account excess kurtosis (i.e., fat tail behavior) and volatility clustering, two important characteristics of financial time series. It provides accurate forecasts of variances and covariances of asset returns through its ability to model time-varying conditional variances. As a consequence, the application of GARCH models has been identified as useful in risk management, portfolio management and asset allocation, option pricing, foreign exchange, and the term structure of interest rates."

Tags: quantile regression Gaussian

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