Essays about: "Ljung-Box test"

Found 4 essays containing the words Ljung-Box test.

  1. 1. Market efficiency and the financial crisis : A study based on the market efficiency in the Nordic countries

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Albin Henriksson; [2021]
    Keywords : Efficient market hypothesis; random walk; autocorrelation; Durbin-Watson; Ljung-Box; OMX; OSEBX; Nordic stock market; financial crisis;

    Abstract : The efficient market hypothesis states that stock prices fully reflect availablei nformation and that stocks thereby always are priced correctly. Hence, it should be impossible to predict future prices in the stock market, and investors will gain no benefits from engaging themselves into historical analyzes. READ MORE

  3. 2. Testing the weak form EMH - An empirical study of the Swedish stock market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Joel Frank; Viktor Öhrström; [2019-07-11]
    Keywords : ;

    Abstract : This thesis investigates whether the Swedish stock market shows signs of weak form efficiency between January 2012 and January 2019. Weekly data is gathered from the OMXSPI and from three indices of different capitalization segments, namely Large cap, Mid cap and Small cap. READ MORE

  4. 3. ARMA and GARCH models for silver, nickel and copper price returns

    University essay from Lunds universitet/Statistiska institutionen

    Author : Mats Hansson; Ola Andersson; Olle Holmberg; [2015]
    Keywords : ARMA; GARCH; MASE; sMAPE; Heteroscedasticity; Stationarity; Ljung-Box test; McLeod-Li test; Running Standard Deviation; Forecast value.; Mathematics and Statistics;

    Abstract : This thesis compares Auto Regressive Moving Average (ARMA) and Generalized Auto Regressive Conditional Heteroscedacity (GARCH) models for three metal commodities. ARMA models have an unconditionally non-random and constant variance, which typically serves well in effectively representing homoscedastic data. READ MORE

  5. 4. MODELLING AND FORECASTING INFLATION RATES IN GHANA: AN APPLICATION OF SARIMA MODELS

    University essay from Statistik

    Author : ERIC AIDOO; [2010]
    Keywords : Ghana Inflation; Forecasting; Box-Jenkins Approach; SARIMA model; Unit Root test; ARCH–LM test; ADF test; HEGY test; Ljung-Box test;

    Abstract : Ghana faces a macroeconomic problem of inflation for a long period of time. The problem in somehow slows the economic growth in this country. As we all know, inflation is one of the major economic challenges facing most countries in the world especially those in African including Ghana. READ MORE