Essays about: "Vector Autoregressive Models stock"
Showing result 1 - 5 of 9 essays containing the words Vector Autoregressive Models stock.
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1. An Efficient Market Study of European CDS and Equity Markets
University essay from Umeå universitet/FöretagsekonomiAbstract : This thesis investigates the price discovery process between the stock and the credit default swap market (CDS). We link the financial theory of efficient markets and the underlying models and conditions involved in CDSs, the stock market and financial crashes. READ MORE
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2. PC Regression, Vector Autoregression, and Recurrent Neural Networks: How do they compare when predicting stock index returns for building efficient portfolios?
University essay from KTH/Optimeringslära och systemteoriAbstract : This thesis examines the statistical and economic performance of modeling and predicting equity index returns by application of various statistical models on a set of macroeconomic and financial variables. By combining linear principal component regression, vector autoregressive models, and LSTM neural networks, the authors find that while a majority of the models display high statistical significance, virtually none of them successfully outperform classic portfolio theory on efficient markets in terms of risk-adjusted returns. READ MORE
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3. Key Economic Sector Nexus and their Granger Causality with Electricity in Tanzania
University essay from Göteborgs universitet/Graduate SchoolAbstract : This thesis uses annual data from 1970 - 2014 to investigate Granger causality between electricity production and key growth contributors in Tanzania. The multivariate analysis is done using Autoregressive Distributed Lag (ARDL) to check for co-integration; the Vector Error Correction (VEC) and Vector Autoregressive (VAR) models are employed for co-integrated and non-co-integrated variables respectively. READ MORE
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4. Serial Dependence and Portfolio Performance in the Swedish Stock Market
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : This paper studies the possibility to exploit linear dependence in stock returns of the Swedish OMX 30 index. The main model studied in the paper is a Vector autoregressive (VAR) model. Ten years of data from the OMX 30 index is used, consisting of 27 stocks for the period 2006-2015 which is transformed into daily, weekly and monthly returns. READ MORE
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5. The Interaction between Interest Rates and Stock Returns:A Comparison between China and US
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The relationship between monetary policy and stock market has been discussed since 1970s, but it is still one of the hot topics due to the changing market condition over time among different countries and the development of empirical methodologies. Owing to the fact that the stock market of China has involved in the fast-growing of Chinese economy, identifying the relationship between interest rates and stock returns in China becomes more attractive. READ MORE
