Financial Econometrics
We do a comprehensive portfolio analysis in this project. First, form different portfolios of financial assets from different time periods such as recession and bull market based on criteria created by yourself. Download the data from yahoo finance accordingly. Evaluate and compare the performance of those portfolios using CAPM models. Second, propose your own trading strategies such as technical analysis or fundamental analysis and the timing to buy and sell. Compare cumulative returns of different strategies. Give a detailed discussion of your portfolios and strategies. Keep some observations as holdout sample to examine the out of sample performance of your strategies. Do as best as you can. Write a comprehensive report following the style of the sample reports. Also, submit your codes. Work on the project independently. The report is expected to have around 7 pages.
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Financial Econometrics
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The economic performance is depended on many factors that surround the business environment and determine the value of assets. Over the years, the market experience a seasonal change over time due to changes in the living standards of people, their purchase levels and also their abilities to proceed into conducting positive changes towards the market returns. The business cycle is therefore a situation experienced whereby certain fluctuations occur over a certain amount of time may it be months, a few years or even as many years as possible. These changes do not however last very long as the economy is always finding ways to redeem itself through the establishment of various activities whose purpose is to achieve better financial success in the tough time. Some of the major issues that cause these business cycles are interest rates, corporate earnings and inflation, which are the leading contributors of the positive and negative impacts of each phase.
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