ECON90033 Quantitative Analysis of Finance I
Lecture 10 - Cointegration and VECM
Barry Rafferty
Semester 2, 2015
1 / 48
Lecture overview
Review of cointegration and the EngleGranger test
Yield curve example
Limitations of Engle-Granger test
Cointegration,
Question 1
(a)
We get a set of simultaneous equations with regard to w1 and w2:
(b)
Descriptive statistics for stock 1 returns
14
Series: R_CWN
Sample 6/10/2011 8/23/2013
Observations 115
12
10
Mean
Median
Maximum
Minimum
Std. Dev.
Skewness
Kurtosis
6
4
2
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
Semester 1, 2014 Final Exam - Monday 16 June 2014
(SOLUTIONS)
Reading Time: 15 minutes.
Writing Time: 3 hours.
This examination paper has 13 pages.
This exam
The University of Melbourne
Department of Economics
ECON90033: Quantitative Analysis of Finance 1
Semester 1, 2014 Final Exam - Monday 16 June 2014
Reading Time: 15 minutes.
Writing Time: 3 hours.
This examination paper has 13 pages.
This examination pape
ECON90033 Quantitative Analysis of Finance I
Lecture 3 - Dynamics in the Mean: ARMA Models
Barry Rafferty
Semester 2, 2015
1 / 63
Lecture overview
Lecture objectives:
Show how to model the deterministic structure of a time
series:
How to model trend and s
ECON90033 Quantitative Analysis of Finance I
Lecture 5 - Forecasting and Forecast Evaluation
Barry Rafferty
Semester 2, 2015
1 / 36
Lecture overview
Forecasting concept
Generating forecasts from univariate time series models
Conditional mean vs. unconditi
ECON90033 Quantitative Analysis of Finance I
Lecture 1 - Properties of Financial Data
Barry Rafferty
Semester 2, 2015
1 / 43
Course information
Coordinator: Barry Rafferty
Prerequisite:
ECON20003 Quantitative Methods 2 or equivalent
Contact:
Lecture: One
ECON90033 Quantitative Analysis of Finance I
Lecture 6 - Volatility Modelling: GARCH Models
Barry Rafferty
Semester 2, 2015
1 / 55
Mid-semester exam
Will be held in class on Tuesday September 8
Reading Time: 15 minutes (3:30pm-3:45pm)
Writing Time: 1 hour
ECON90033 Quantitative Analysis of Finance I
Lecture 4 - Stationarity and Unit Root Testing
Barry Rafferty
Semester 2, 2015
1 / 48
Lecture overview
Lecture objectives:
Review concept of stationarity:
Covariance stationarity
Describe non-stationarity and u
ECON90033 Quantitative Analysis of Finance I
Lecture 7 - VAR Models (1): Concept and Specification
Barry Rafferty
Semester 2, 2015
1 / 46
Lecture overview
So far we have looked at univariate models:
Modelling a time series using its own past values and cu
ECON90033 Quantitative Analysis of Finance I
Lecture 2 - Linear Regression in Finance
Barry Rafferty
Semester 2, 2015
1 / 70
Linear regression in finance
Lecture objectives:
Introduce linear regression in finance
Illustrate the use of linear regression wi
ECON90033 Quantitative Analysis of Finance I
Lecture 9 - Introduction to Cointegration
Barry Rafferty
Semester 2, 2015
1 / 47
Lecture overview
Introduction to cointegration:
Introduction to multivariate modelling of non-stationary series
Spurious regressi