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MBA, Ph.D in Management
Harvard university
Feb-1997 - Aug-2003
Professor
Strayer University
Jan-2007 - Present
This is a problem of Introductory Econometrics for Finance. Models we have learned including OLS, AR(1), ARCH, GARCH, EGARCH, ARMA.
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Suppose you are given data on two shares (McDonald’s and Burger King, for example) and asked to examine the possibility of a pairs trade (i.e. buying one and selling the other). Outline how you would test the viability of this trade. Describe any models you would estimate and any hypothesis tests you would carry out.
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