Econometrics Research Project

[Chris Patrick]

Any good project ideas for a first year grad econometrics course research project relating to finance? Pretty basic econometrics course that essentially uses OLS. I'm looking for something worthwhile/relevant that I could put on a resume to build it up for recruiting season. Thanks!

 

[Ken Abbott]

Any good project ideas for a first year grad econometrics course research project relating to finance? Pretty basic econometrics course that essentially uses OLS. I'm looking for something worthwhile/relevant that I could put on a resume to build it up for recruiting season. Thanks!

Are credit spreads seasonal? Compare them to ag spreads which are seasonal and mean reverting. You can do mean reversion tests, ARIMA, and FFT.

 

[Chris Patrick]

That sounds great, I'll talk with my professor about it. Thanks @Ken Abbott