Essays about: "Co-integration"

Showing result 16 - 20 of 37 essays containing the word Co-integration.

  1. 16. Evaluating forecast accuracy for Error Correction constraints and Intercept Correction

    University essay from Statistiska institutionen

    Author : Richard Eidestedt; Stefan Ekberg; [2013]
    Keywords : Forecast Accuracy; Vector Error Correction; Vector Autoregressive; Co-integration; Intercept Correction and Diebold-Mariano test;

    Abstract : This paper examines the forecast accuracy of an unrestricted Vector Autoregressive (VAR) model for GDP, relative to a comparable Vector Error Correction (VEC) model that recognizes that the data is characterized by co-integration. In addition, an alternative forecast method, Intercept Correction (IC), is considered for further comparison. READ MORE

  3. 17. Approaches toward a low carbon future for China: Scenario analysis about the provincial level plans

    University essay from Institutionen för geovetenskaper

    Author : QIAOQIAO Xu; [2013]
    Keywords : Sustainable Development; Low Carbon Economy; Scenario Analysis; Policy Suggestion;

    Abstract :  As the global warming brings more and more disasters, controlling greenhouse gas emission is one of the main global crucial issues nowadays. As one of the main emitters in the world, China faces more and more international pressure to reduce the emission, so it is urgent to make the transition to a low carbon economy. READ MORE

  4. 18. The Impact of Overseas Stock Markets on Chinese Stock Markets at the Background of Financial Crises : From the Perspective of Price Index

    University essay from Företagsekonomi

    Author : Xiaofang Hou; Weirui Xu; [2013]
    Keywords : Financial globalization; financial crisis; Chinese stock markets; European stock markets; US stock markets; efficient market hypothesis; co-integration; ADF test; Johansen test; VAR model and Granger causality test;

    Abstract : .... READ MORE

  5. 19. Structural breaks in mean reverting processes: Empirical study of WTI-Brent futures spreads

    University essay from Göteborgs universitet/Graduate School

    Author : Alexander Djurberg; Zakarias Svenmyr; [2012-07-25]
    Keywords : Ornstein-Uhlenbeck; Mean Reversion; Brent; Spread; First-time hitting density; Expected return; Futures;

    Abstract : The purpose of this study is to examine the implication of structural breaks in mean reverting processes on the expected return of spread trading. Previous research focuses on the effective- ness of threshold filters in mean-reverting models when deciding trading strategies to exploit arbitrage opportunities within the spread of two highly correlated commodity futures. READ MORE

  6. 20. The Telecommunications (ICT) Investment and Economic growth(GDP) : A causality analysis-case study of Sweden

    University essay from Institutionen för samhällsvetenskaper

    Author : Saqib Masood; [2012]
    Keywords : Economic Development; Long wave- Technological revolution; Telecommunication ICT investment; GDP; Granger Causality; Unit root; Co-integration;

    Abstract : This research paper investigates the causality issue between economic growth rate (GDP) and Information and Communication Technology (ICT) investment in Sweden by applying modern time series techniques. It mainly covers time series analyses of 30 years of Sweden data (1980-2009). READ MORE