Consider the monthly simple returns of the decile 1 decile, Ask an Expert

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Consider the monthly simple returns of the Decile 1, Decile 5, and Decile 10 of NYSE/AMEX/NASDAQ based on market capitalization. The data span is from January 1960 to December 2003, and the data are obtained from CRSP.

(a) For each return series, test the null hypothesis that the first 12 lags of autocorrelations are zero at the 5% level. Draw your conclusion.

(b) Build an AR and an MA model for the series of Decile 5.

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Financial Management, Finance

Category:- Financial Management
Reference No.:- M91980593

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