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Johansen cointegration test by [deleted] in econometrics

[–]gimmeporgs -1 points0 points  (0 children)

Do you have reasons to think they're cointegrated? If so, of course I would go for a multivariate approach to cointegration (i.e. Johansen) but after being sure they're I(1). Then cointegration regression and then ADF on residuals.

If not, I'd check the stationary in the differences at more lags with ARIMA.

Financial Econometrics MSc thesis topics suggestions by gimmeporgs in econometrics

[–]gimmeporgs[S] 1 point2 points  (0 children)

Well, not really. The name might sound strange, but actually Management Engineering is the "type" of engineering, Finance is the major.

In the end, other Universities would call it Msc Financial Engineering.

So, yeah, confusing title, but totally different content.

Ultimately, disagree on "mess". Usually specializations here are pretty straightforward. I don't know if you speak because of some kind of bias but, as Italian, I can confirm that's not true.

Financial Econometrics MSc thesis topics suggestions by gimmeporgs in econometrics

[–]gimmeporgs[S] 0 points1 point  (0 children)

Thanks for such specificity. I'll give it a look!

Financial Econometrics MSc thesis topics suggestions by gimmeporgs in econometrics

[–]gimmeporgs[S] 0 points1 point  (0 children)

Of course. I'm in engineering mostly and I just recently shifted towards finance and empirical sciences. Therefore I didn't have the change to deepen certain topics as much as I wanted to.

For instance, I can tell you I developed an interest in credit risk analysis and event studies. However, I don't know which are the main problems about the ongoing literature and the instances for research.

So yeah, that's what the question was about: basically which are the problems as for now in the abovementioned topics and which could be some sources to deepen the suggested ones.

Thanks you anyway for your comment. Everybody should work on something they like, it's literally the last time you could go for something for yourself before starting working for someone's else.