10 STAT GR5221 & GU4221 - TIME SERIES ANALYSIS 1. Let {Yt } be a stationary process and define the bivariate process Xt1 = Yt and Xt2 = Ytd for d 6= 0. Show that {(Xt1 , Xt2 )0 } is stationary. Express its cross-correlation function in terms of the autocorrelation function of {Yt }. If Y (h) 0 as h , show that there exists a lag k for which 12 (k) > 12 (0). 2. Problem #8.1(a),(c)(skip (b)), page 462, textbook by R.S. Tsay. Use the data set with returns data of IBM, VW, EW, SP in the file M-IBMVWEWSP2603 instead of the data set indicated in the textbook problem version. 3. Problem #8.3, page 463, textbook by R.S. Tsay. Use the bivariate data set with monthly Treasury constant maturity rates in the file M-GS1N3-5301 instead of the data set indicated in the textbook problem version. 4. Problem #9.2, pages 501-502, textbook by R.S. Tsay. Use the log stock return data in the file M-5CLOG-9008 instead of the data set indicated in the textbook problem version. 5. Problem #9.5, pages 502-503, textbook by R.S. Tsay. Use the data set in the file M-FAC9003 instead of the data set indicated in the textbook problem version