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240project - What would you suggest to do if you find...

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STAT240 TEAM PROJECT DUE DEC 8, 2008 For the project, each student is supposed to work in one and only one team, consists of at most 4 people. Each team hands in one copy of the solutions, with the name of all members included. Only hard copy is accepted. Do not attempt to hand in through email. Please put the copy in Lai’s mailbox or under the door of his office. Problem 1 (1) Carry out Ex 4. 7 (2) Perform a diagnostic check of the i.i.d. assumptions for the stocks returns of Ex 4.7.
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Unformatted text preview: What would you suggest to do if you find market departures from the assumption? Carry out your suggestions. Problem 2 This Problem considers possible parameter changes in fitting regression and volatility mod-els to financial time series. (1) Exercise 5.10. (2) Exercise 6.10. For your reference, these issues are discussed in section 9.5.2 of the book, which summarized two recent papers by Lai and Xing on the subject. 1...
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