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Welcome to My New Econometric Blog
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My First Blog Post
Nobody can go back and start a new beginning, but anyone can start today and make a new ending — Maria Robinson. This is the very first post on my new blog. This blog is for sharing econometric knowlegde and using of data analytic tool . I hope that I can learn from reader as… Read more
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Capital Asset Pricing Model (CAPM)
Various models are built to estimate mutual fund performance. However, most of these articles only deal with one, or at most two different performance models. This project will compare the most basic single factor Capital Asset Pricing Model (CAPM) as well as Fama and French model (1992,1996) add proxies for size and book-to-market; the Carhart… Read more
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Time Series
There are three types of data:+ Cross-Section: the data is collected by observing multiple subject at the same time (e.g. GDP of Southest Asia countries in 2010).+Time Series data: is series of data points in the order of time (e.g. US stock index for 5 years, UK GDP in 20 years) Normally Time series is… Read more
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Dynamic linkages between the US stock market and the stock markets of European economies
Abstract Understanding the degree of interdependence between national stock markets and the nature of their relationship (market dominance, a transmission mechanism, and degree of responsiveness to information flows) have implications for market stability and international diversification (Eun and Shim, 1989; Chowdhury, 1994). In this paper, I will empirically examine the short-run relationships between the US… Read more
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