In finance and economics, a huge amount of our data is in the format of time-series, such as stock prices and Gross Domestic Products (GDP). From Chapter 4, Sources of Data, it is shown that from Yahoo!Finance, we could download daily, weekly, and monthly historical price time-series. From Federal Reserve Bank's Economics Data Library (FRED), we could retrieve many historical time-series such as GDP. For time-series, there exist many issues, such as how to estimate returns from historical price data, how to merge datasets with the same or different frequencies, seasonality, and detect auto-correlation. Understanding those properties is vitally important for our knowledge development.
In this chapter, the following topics will be covered:
Introduction to time-series analysis
Design a good date variable, and merging different datasets by date
Normal distribution and normality test
Term structure of interest rates, 52-week high, and low trading strategy
Return estimation...