Essays about: "Johansen Test"

Showing result 16 - 20 of 46 essays containing the words Johansen Test.

1. 16. Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Mikael Jurvelin Olsson; Andreas Hild; [2019]
   Keywords : Cointegration; Statistical arbitrage; Cryptocurrency; Pairs trading; Algorithmic trading;

   Abstract : This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. READ MORE

3. 17. Bitcoin and Stock Market Indexes Causality

   University essay from Högskolan i Jönköping/Internationella Handelshögskolan

   Author : Efe Akinci; Jing Li; [2018]
   Keywords : Bitcoin; Stock Markets; Augmented Dickey-Fuller; Cointegration; Granger Causality;

   Abstract : This paper studies Granger Causality relations between Bitcoin and 5 stock market indexes which are Japan, Russia, South Korea, Sweden and the United States. The time-period examined is from 2013 to 2017 and all the tests are conducted based on daily data. READ MORE

4. 18. Interlinked Roundwood Markets in Sweden, Norway and Finland : An econometric study of roundwood assortment prices

   University essay from Luleå tekniska universitet/Institutionen för ekonomi, teknik och samhälle

   Author : Victoria Eriksson; [2018]
   Keywords : Interlinked markets; market integration; co-integration; roundwood; Johansen s test; Granger causality;

   Abstract : Market integration is a frequently discussed topic. This study presents an econometric analysis of the interlinkages between the Swedish, Norwegian, and Finnish coniferous roundwood assortment markets by conducting the Johansen’s co-integration test. It also investigates the directional causality between markets concluded integrated. READ MORE

5. 19. The Impact of Brexit on the Swedish Economy : a Study on the Swedish Forest Products Export Sector

   University essay from SLU/Dept. of Economics

   Author : Carl Lundberg; [2018]
   Keywords : Brexit; Exchange Rate; Export; Forest Industry; Time Series Analysis; Vector Error Correction Model;

   Abstract : On the 29th of March 2019, the U.K. is scheduled to leave the European Union. This withdrawal is estimated to affect both the U. READ MORE

6. 20. Exploring consensus mediating arguments in online debates

   University essay from KTH/Skolan för informations- och kommunikationsteknik (ICT)

   Author : Andreas Kaas Johansen; [2017]
   Keywords : ;

   Abstract : This work presents a first venture into the search for features that define the rhetorical strategy known as Rogerian rhetoric. Rogerian rhetoric is a conflictsolving rhetorical strategy intended to find common ground instead of polarizing debates further by presenting strong arguments and counter arguments, as is often done in debates. READ MORE