Financial Econometrics

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Financial Econometrics 1

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Final exam: Financial Econometrics (Grade:C(7)), Copenhagen Business School

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Timeseries analysis of the Baltic dry Index, submitted as the final exam for the course Financial Econometrics at Copenhagen Business School. This paper provides an ARIMA-based approach for forecasting the Baltic Dry Index. It is evident that macroeconomic factors have a big impact on the BDI price, where the volatility has dramatic increases when macroeconomic shocks are present. This aspect has also been discussed in earlier literature. The findings of this paper do not confirm that the AR...

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• 12 pages's •
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uploaded 2022

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Financial Econometrics • Financial Econometrics