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A temporal sequence of events measured at discrete points in time.

3 votes
3 answers
265 views

Is the number of outstanding shares a stationary series?

I'm doing a panel data analysis where the log of the freefloat number of outstanding shares is one of the explanatory variables, but it fails the Augmented Dickey Fuller and Person Phillips unit root …
Cindy88's user avatar
  • 431
2 votes
3 answers
1k views

Time Series or Regression

I'd like to research the impact of certain events and characteristics on the liquidity of the stocks over time. I've got a sample of 200 stocks and I use several measures of liquidity (Amihud, Bid-Ask …
Cindy88's user avatar
  • 431
1 vote
2 answers
2k views

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 curren …
Cindy88's user avatar
  • 431
1 vote
0 answers
33 views

Pricing a transfer option for oil

Need some input in how to attack this problem. Given are 8 timeseries: UK Oil price, Delivery Quarter 1 2020 UK Oil price, Delivery Quarter 2 2020 UK Oil price, Delivery Quarter 3 2020 UK Oil price, …
Cindy88's user avatar
  • 431