1. A LINK TO ECONOMIC MODELS
CHAPTER 5
UNDERSTANDING LINEAR DEPENDENCE:
A LINK TO ECONOMIC MODELS
5.1 Price Dynamics: The Cob-Web Model
Figure 5.1 The Cob-Web Model: Price Dynamics (One Supply Shock)
Supply
Demand
González-Rivera: Forecasting for Economics and Business, Copyright © 2013 Pearson Education, Inc.

2. 5.1.4 Simulation of the Model and Autocorrelation Function
Figure 5.2 Time Series and Autocorrelation Functions of the AR Model
González-Rivera: Forecasting for Economics and Business, Copyright © 2013 Pearson Education, Inc.

3. Figure 5.3 Time Series and Autocorrelation Functions of Producer Prices
of Oranges in Florida
González-Rivera: Forecasting for Economics and Business,
Copyright © 2013 Pearson Education, Inc.

4. Figure 5.4 Alternative Price Dynamics (Smooth Adjustment to Equilibrium)
Supply
Demand
González-Rivera: Forecasting for Economics and Business, Copyright © 2013 Pearson Education, Inc.

5. . 5.2 Portfolio Returns and Nonsynchronous Trading
Figure 5.5 Two Assets Trading at Different Frequencies
(Nonsynchronous Trading)
day 1
day 2
day 3
day 4 .
news
González-Rivera: Forecasting for Economics and Business, Copyright © 2013 Pearson Education, Inc.

6. Table 5.1 Returns and their News Content
González-Rivera: Forecasting for Economics and Business, Copyright © 2013 Pearson Education, Inc.

7. Figure 5.6 Autocorrelation Functions of Daily Portfolio Returns
AMEX portfolio
SP500 portfolio
González-Rivera: Forecasting for Economics and Business, Copyright © 2013 Pearson Education, Inc.

8. 5.3 Asset Prices and the Bid-Ask Bounce
Figure 5.7 Time Series and Autocorrelation of Monthly Returns to BBVA
González-Rivera: Forecasting for Economics and Business, Copyright © 2013 Pearson Education, Inc.

9. Figure 5.8 Time Series and Autocorrelation Functions of the Simulated Series
González-Rivera: Forecasting for Economics and Business, Copyright © 2013 Pearson Education, Inc.