{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

hw3-2012 - CORNELL UNIVERSITY STSCI 4550 ILRST 4550 ORIE...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
CORNELL UNIVERSITY STSCI 4550 / ILRST 4550 / ORIE 5550 Applied Time Series Analysis, Spring 2012 Professor David S. Matteson Assignment #3 Due: Wednesday, February 22 1. Consider the monthly simple returns of the CRSP Decile 1 and 10 portfolios from January 1988 to December 2007. The portfolios consist of NYSE/AMEX/NASDAQ stocks based on market capitalization (cap) and rebalanced annually. See CRSP (via WRDS) for more information. The data are in m-dec1n10.txt (date, Decile-1 return, and Decile-10 return) (a) Compute the first 24 lags of ACF and PACF of the simple return series of Decile 1 portfolio (no plots, round your answers). (b) State and test the hypothesis that the first 12 lags of ACF are zero for Decile 1. Draw your conclusion. (c) Focus on the ACF at lag 12 for Decile 1. State and test the hypothesis that it is zero. Draw your conclusion. (d) Focus on the PACF at lag 1 (see page 70 of the text). State and test the hypothesis it is zero. Draw your conclusion.
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}