Focus on the monthly log returns of IBM and HPQ stocks from January 1962 to December 2003.

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Focus on the monthly log returns of IBM and HPQ stocks from January 1962 to December 2003. Fit a DVEC(1,1) model to the bivariate return series. Is the model adequate? Plot the fitted volatility series and the time-varying correlations.

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Analysis Of Financial Time Series

ISBN: 9780471690740

2nd Edition

Authors: Ruey S. Tsay

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Question Posted: Jun 10, 2024 02:05 AM

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Focus on the monthly log returns of IBM and HPQ stocks from January 1962 to December 2003.

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Analysis Of Financial Time Series

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