Basic Time-Series Analysis: A Drunk and Her Dog Explain Cointegration and the VECM Model

Dogs Image By Peter Wadsworth (Flickr) [CC BY 2.0], via Wikimedia Commons This post is the fifth in a series explaining Basic Time Series Analysis. Click the link to check out the first post which focused on stationarity versus non-stationarity, and to find a list of other topics covered. As a reminder, this post is…

Basic Time-Series Analysis, the Game

Update: Posts in this series Introduction and Stationary versus Unit Roots (this post) Single Equation Models, ARIMA Single Equation Models, GARCH Multiple Equation Models, VAR Multiple Equation Models, Cointegration and VECM Roadmap: Which Model for your Project (coming soon) When graduate students approach me hoping to start research in price analysis, they usually have to…

What to expect when Bitcoin Futures Start Trading Tonight: Cash and Carry Arbitrage

[mathjax]   Bitcoin futures (XBT) start trading tonight at 5pm CST on the CBOE. CME Group will launch a bitcoin futures contract next week on December 18, 2017. Source: CBOE The launch of futures contracts for bitcoin is highly anticipated since the cryptocurrency has gained over 1500% this year alone. Before the launch of futures…