Essays about: "Cointegration test"

Showing result 21 - 25 of 83 essays containing the words Cointegration test.

1. 21. Dynamics of the German housing market

   University essay from Göteborgs universitet/Graduate School

   Author : Tanina Chabani; [2019-10-29]
   Keywords : ;

   Abstract : This paper examines the development of German housing prices in light of the recent price increase of approximately 27% since 2010. Following an asset price approach, the actual rent-price ratio is compared to a ratio that will be calculated based on fundamental values which, according to theory, explain housing prices. READ MORE

3. 22. Cointegration among cryptocurrencies : A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple

   University essay from Umeå universitet/Nationalekonomi

   Author : Joline Göttfert; [2019]
   Keywords : ;

   Abstract : The purpose of this paper is to examine if there is cointegration between the daily closing price of the cryptocurrency Bitcoin and five other cryptocurrencies; Ethereum, Ripple, Bitcoin Cash, EOS and Litecoin in five different time periods, all ending April 9, 2019. To test if there is a long-run relationship between Bitcoin and these mentioned cryptocurrencies, two different tests for cointegration are applied; the Engle-Granger two step approach and Johansen’s cointegration test as well as a Vector Error Correction Model (VECM). READ MORE

4. 23. The Effects of Economic Growth, Energy Consumption, Trade, Urbanization, and Financial development on CO2 Emissions in Canada

   University essay from Lunds universitet/Ekonomisk-historiska institutionen

   Author : Fia Andersson; [2019]
   Keywords : Canada; Environmental Kuznets Curve; CO2 Emissions; Autoregressive Distributed Lag Method; Vector Error Correction Model; Business and Economics;

   Abstract : A noteworthy cause of climate change is the amount of CO2 emissions released into the atmosphere. This study´s objective, therefore, is to examine the relationship between CO2 emissions, economic growth, energy consumption, urbanization, trade and financial development in the case of Canada, one of the largest CO2 emitters both in per capita and in absolute terms, over the period 1960-2014. READ MORE

5. 24. On the renewable, non-renewable energy consumption and growth nexus in emerging economies: Empirical evidence from Turkey

   University essay from Lunds universitet/Ekonomisk-historiska institutionen

   Author : Tugce Eruydas; [2019]
   Keywords : Renewable energy consumption; total energy use; fossil fuels; economic growth; cointegration; Granger causality; emerging economy; Turkey; Social Sciences;

   Abstract : Since carbon-emitting energy sources are the largest contributor to global warming and climate change, this present paper attempts to contribute to the current debate in energy-growth nexus in the literature. Focusing on the case of Turkey, it seeks to find out whether or not switching to a low-carbon path will be beneficial for this fastest-growing OECD economy by investigating the relationship between energy sources (both renewable and non-renewable) and economic growth over the period of 1990-2015. READ MORE

6. 25. Pairs Trading, Cryptocurrencies and Cointegration : A Performance Comparison of Pairs Trading Portfolios of Cryptocurrencies Formed Through the Augmented Dickey Fuller Test, Johansen’s Test and Phillips Perron’s Test

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Mikael Jurvelin Olsson; Andreas Hild; [2019]
   Keywords : Cointegration; Statistical arbitrage; Cryptocurrency; Pairs trading; Algorithmic trading;

   Abstract : This thesis analyzes the performance and process of constructing portfolios of cryptocurrency pairs based on cointegrated relationships indicated by the Augmented Dickey-Fuller test, Johansen’s test and Phillips Peron’s test. Pairs are tested for cointegration over a 3-month and a 6-month window and then traded over a trading window of the same length. READ MORE