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Financial Econometrics: Methods and Models

Peijie Wang

Chapter 8

Frequency domain analysis of time series - all with Video Answers

Educators

Chapter Questions

01:18

Problem 1

What is spectral analysis of time series? Does spectral analysis render new or more information?

Mitchel Vereen
Mitchel Vereen
Numerade Educator
01:26

Problem 2

Discuss the advantages and disadvantages of the analysis in the frequency domain.

Arulmozhi T
Arulmozhi T
Numerade Educator

Problem 3

Describe the Fourier transform and the inverse Fourier transform.

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02:03

Problem 4

What are phases and coherence in spectral analysis? Contrast them with leads/lags and correlation in the time domain.

Keenan Mintz
Keenan Mintz
University of Miami

Problem 5

Collect data from various sources and perform the Fourier transform for the following time series (using RATS, GAUSS or other packages):
a GDP of selected countries;
b total return series of selected companies;
c foreign exchange rates of selected countries vis-à-vis the US\$.

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Problem 6

Collect data from Datastream and estimate phases and coherence for the following pairs of time series:
a the spot and forward foreign exchange rates of the UKf vis-à-vis the US\$;
b the spot foreign exchange rates of the UKf and Japanese yen vis-à-vis the US\$.

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Problem 7

Collect data from various sources and estimate phases and coherence for the following pairs of time series:
a GDP of the US and Canada;
b GDP and retail sales of the UK.

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02:01

Problem 8

Collect data from Datastream and estimate phases and coherence for the following pairs of time series:
a total returns of Tesco and Sainsbury's;
b total returns of Intel and Motorola.

Emily Himsel
Emily Himsel
Numerade Educator