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7 years ago in Quantitative analysis By Muhammad sohail

Need for Expert advice

Can any one plz guide me in Using DCC MIDAS Approach. Im working on Stock market cointegration.

QuantitativeMethods

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By Shubham Bichwani Answered 7 years ago

I believe you should first begin with the selection of market indices and the period your data set would cover. Say, you can take daily returns of the market indices selected for co-integration testing for a period of 10 years. Further, it depends on the scope of your study, i.e., whether it is country specific or global in its reach. Using R with the midasr package for analysis is advisable while employing the DCC MIDAS approach.

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