Essays about: "Cointegration test"

Showing result 6 - 10 of 83 essays containing the words Cointegration test.

  1. 6. One slope does not fit all: Investigating Heterogeneity in Cointegration and Panel Methods in the Energy Intensity Literature

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Sara Svensson; [2022]
    Keywords : Panel Data Methods; Heterogeneity; Energy Economics; Environmental Economics; Business and Economics;

    Abstract : This thesis aims to analyze the methods of existing studies on the relationship be- tween energy intensity and economic variables. I study panel data from 42 countries to examine the cointegration between energy intensity and GDP, capital stock, pop- ulation, and CO2 emissions as well as estimate their relationship with a pooled common correlated effects (CCEP) estimator. READ MORE

  3. 7. Beyond the Turning Point: The Environmental Kuznets Curve for CO2 Emissions in Romania

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Mara Balasa; [2022]
    Keywords : environmental Kuznets curve; autoregressive distributed lag; Granger causality; Romania;

    Abstract : This thesis studies the long-run relationship between environmental degradation measured by carbon dioxide (CO2) emissions per capita and economic growth measured by gross domestic product per capita in Romania, between 1968 and 2018. The study is conducted using the environmental Kuznets curve (EKC) framework and the autoregressive distributed lag bounds test for cointegration. READ MORE

  4. 8. The impact of macroeconomic variables on the Swedish stock market : A VECM approach

    University essay from Umeå universitet/Nationalekonomi

    Author : Simon Ternbo; [2022]
    Keywords : ;

    Abstract : This paper examines the effects of macroeconomic indicators on the Swedish stock market, during the period from December 2002 until December 2021. The effects are examined through a Vector Error-Correction model (VECM), which is based on Johansen’s test of cointegration. READ MORE

  5. 9. The relationship between Renewable Energy, Electricity Prices and the Stock Market : A study on the relation between electricity prices and stock markets in chosen European countries with different energy sources

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Tilda Forslin; Gabriel Cedergren; [2022]
    Keywords : Renewable Energy; Electricity Prices; Stock Market; Volatility; Johansen’s Cointegration Test; GARCH; DCC-GARCH;

    Abstract : In this study we analyse the relationship between renewable energy, electricity prices, and the stock market. The impact from electricity prices on stock markets have previously been thoroughly analysed. READ MORE

  6. 10. 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