Essays about: "Vector Autoregressive Models"

Showing result 16 - 20 of 54 essays containing the words Vector Autoregressive Models.

  1. 16. Global Inflation in Forecasting - A model comparison

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Carl Billing; Charlotte Breitz; [2019]
    Keywords : Global Inflation; Forecasting Inflation; GVAR; Estimation Window; Business and Economics;

    Abstract : An essential input to monetary policymaking is inflation forecasting, and one important factor regarding inflation forecasting debated by researchers is the use of a global component. This thesis builds upon Ciccarelli and Mojon (2005, 2010) as well as Gillitzer and McCarthy (2019), who investigate the performance of a global component when forecasting domestic inflation. READ MORE

  3. 17. 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 systemteori

    Author : David Hallberg; Erik Renström; [2019]
    Keywords : PC Regression; Vektorautoregression; och Återkopplande Neurala Nätverk: En jämförelse mellan deras förmåga att prognostisera aktieindexavkastning för att konstruera effektiva portföljer; Huvudkomponentregression; vektorautoregression; LSTM; återkopplande neurala nätverk; portföljteori; portföljoptimering; maskininlärning; makroekonomi; finans; aktieavkastning; aktieindex;

    Abstract : 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

  4. 18. Can Bitcoin, and other cryptocurrencies, be modeled effectively with a Markov-Switching approach?

    University essay from KTH/Matematisk statistik

    Author : Thomas Maupin; [2019]
    Keywords : ;

    Abstract : This research is an attempt at deepening the understanding of hyped cryptocurrencies. A deductive nature is used where we attempt to estimate the linear dependencies of cryptocurrencies with four different time series models. READ MORE

  5. 19. The effect of Housing in the Monetary Transmission Mechanism of Consumption in Euro Countries

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Rasmus Löfström; [2019]
    Keywords : Housing; Consumption; Monetary transmission mechanism; Business and Economics;

    Abstract : This paper examines the indirect effect housing plays in the monetary transmission mechanism (MTM) of consumption. This is done by following the method of Giuliodori (2005) and estimating structural vector autoregressive models (SVAR) for 16 developed countries, from the first quarter of 1970 to the last quarter of 2018. READ MORE

  6. 20. Short term traffic speed prediction on a large road network

    University essay from KTH/Matematisk statistik

    Author : Titing Cui; [2019]
    Keywords : ;

    Abstract : Traffic flow speed prediction has been an important element in the application of intelligent transportation system (ITS). The timely and accurate traffic flow speed prediction can be utilized to support the control, management, and improvement of traffic conditions. READ MORE