Essays about: "Augmented Dickey Fuller"

Showing result 1 - 5 of 28 essays containing the words Augmented Dickey Fuller.

  1. 1. Is Bitcoin a Safe Haven?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : William Stockfors; [2023]
    Keywords : Cointegration Bitcoin S P 500 Safe Haven; Business and Economics;

    Abstract : The objective of this bachelor thesis is to assess the safe haven property of Bitcoin by conducting an augmented Dickey-Fuller test and Engle and Granger cointegration test with price data from the COVID-19 crash. The analysis revealed a cointegration relationship between Bitcoin and the S&P 500, indicating a long-run equilibrium between the two and thus providing evidence against the safe haven property. READ MORE

  3. 2. The Influence of Gold Market on Bitcoin Prices : Is there a correlation?

    University essay from Jönköping University/Internationella Handelshögskolan

    Author : Kasra Shariati; [2022]
    Keywords : Bitcoin; Gold; Investor Attention; Market Performance; Virtual Currency Development; Investments; Correlation;

    Abstract : Background: This paper analyses the influence of fluctuation in gold market on bitcoin prices. Based on previous studies, in present market conditions, volatility in gold prices have caused price changes in several other major assets in the market, such as crude oil. Gold fluctuations are likely to stimulate uncertainty in some other major assets. READ MORE

  4. 3. Carbon dioxide, renewable energy and economic growth : A Swedish non-EKC case study

    University essay from Södertörns högskola/Nationalekonomi

    Author : Josephine Andersson; Kristina Everstova; [2022]
    Keywords : Economic growth; Environmental Kuznets Curve; Granger Approach; VECM; Sweden; Renewable energy consumption;

    Abstract : The purpose of this master’s thesis is to investigate the relationship between renewable and non-renewable energy consumption, economic growth and carbon dioxide emissions per capita in Sweden in the period of 1970-2018. As indicators, the economic indicator will be represented by the per capita gross domestic product, GDP, as the environmental indicator this study will use carbon dioxide emissions per capita, CO2, and the energy use per capita will represent the energy consumption variable. READ MORE

  5. 4. Statistical arbitrage : Can a pairs trading strategy beat a buy-and-hold strategy?

    University essay from Uppsala universitet/Statistiska institutionen

    Author : André Aho; Simon Löw; [2022]
    Keywords : Algorithmic trading; Quantitative methods; Pairs trading; Cointegration; Sharpe ratio;

    Abstract : In this thesis, the aim is to investigate whether a pairs trading strategy on Swedish stocks can generate a higher risk-adjusted return compared to a buy-and-hold strategy on a benchmark index. The benchmark index is the OMX Stockholm Benchmark-index (OMXSBPI), which is an index that should reflect the Swedish market in general. READ MORE

  6. 5. Okun's law in the Nordics : A time series analysis based on Okun’s law

    University essay from Södertörns högskola/Nationalekonomi

    Author : Alisina Faramarzi; Filip Maraui; [2022]
    Keywords : Okun s law; Time-series; Economic Growth; Unemployment; Panel data; Okuns Lag; Tidsserie; Ekonomisk Tillväxt; Arbetslöshet; Panel data;

    Abstract : In this thesis we examined the validity of Okun’s law across four Nordic countries (Sweden,Norway, Finland and Denmark) using the gap version of Okun's law. Our method foranalyzing the Okun’s law for Nordic countries in this study is time series. READ MORE