All Questions
Tagged with lags time-series
7 questions
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The question is related to the regression analysis - stationarity testing
How to interpret different scenarios in ADF test.
Scenarios:
ADF Test:
Type: None, Drift, Trend
What exactly each of the types specify and when to use which 'type' during performing stationarity and ...
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2
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326
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lead lag relationship among futures, options and stock prices
I have the data of past 10 years of NIFTY (the National Stock Exchange of India) stock, futures and options and I want to show the lead-lag relationship (which reacts first, futures, options or stocks)...
-1
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1
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What does A(B) mean in time series
So I have been reading some papers regarding time series, mainly from Granger and Engle. I am a bachelor econometrics student, but I have never seen such notation before. For example, A(B)(1-B)x(t) = -...
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Interpreting ACF/PACF of return series
Researching a return series on some currency pairs I grabbed 2 years worth of daily data and got to work trying to fit an ARIMA/GARCH model to it.
Fitting the (log) return series:
...
user20664
3
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VAR models when examining relationships between financial markets
When researchers examine lead-lag relationships between credit default swaps and (as an example) stock markets, many use Vector Autoregressive Models (VAR). They want to find out what market "is ...
- 183
4
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1
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volume-returns cross correlation interpretation
I want to find the relationship between volume and price returns in the S&P500. My first thought was to run a cross correlation in order to find who leads and who lags in the relation. It´s my ...
- 121
1
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2
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Lagged dependent variable, yes or no?
I read conflicting opinions about the inclusion of lagged dependent variables in modeling, and I guess it is partly up to the researcher and depending on the scope and goal of the research.
I'm ...
- 431