Essays about: "Forecast Error Variance Decomposition"

Showing result 1 - 5 of 8 essays containing the words Forecast Error Variance Decomposition.

1. 1. Rare Earth Metals' Resiliency and Volatility Spillover Effects : A Critical Supply Assessment for Western Technologies From a Risk Management Perspective

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

   Author : Farzam Ebrahimi; Samuel Elm; [2023]
   Keywords : Rare Earth Metals; Interconnectedness; Conditional Volatility; Risk Management; Value at Risk; Event Study;

   Abstract : This paper explores the relationship between Chinese rare earth metals (REMs) and the industries in the U.S and Europe that heavily rely on them. READ MORE

3. 2. Quantifying the Impact of EU-US "Distressed" Financial Market Integration on European Credit Supply

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ioannis Tzoumas; [2023]
   Keywords : ΔCoVaR; Loans; Credit; Risk; Integration; Business and Economics;

   Abstract : This paper proposes a new method for quantifying financial integration by adapting Adrian & Brunnermeier (2016)’s ΔCoVaR to conform with standard asset pricing literature (Lewellen & Nagel 2006, Cochrane 2009). We reconcile ΔCoVaR with standard microeconomic theory (Waller & Lewarne 1994) and test for causal relationships with respect to the contagion of US acute financial shocks to the EU’s loan supply. READ MORE

4. 3. Title: Does Bitcoin hedge inflation risk? A multivariate time series analysis

   University essay from Göteborgs universitet/Graduate School

   Author : Domenico Roberto Curciarello; [2022-06-29]
   Keywords : Bitcoin; 5 years– 5 years forward inflation expectation rate; VAR; VARX; Granger causality; Impulse response function; Forecast error variance decomposition;

   Abstract : This thesis investigates whether Bitcoin can be considered a valuable hedge against inflation risk. The research examines the relationship between Bitcoin and inflation, the two variables' forecast ability, and how an exogenous shock simulated on one variable affects the other. READ MORE

5. 4. Impact of Forward-Looking Macroeconomic Information on Expected Credit Losses According to IFRS 9

   University essay from KTH/Matematik (Avd.)

   Author : Christian Corfitsen; [2021]
   Keywords : IFRS 9; Expected credit loss; ECL; VAR; Vector Autoregression; Forecasting; Impulse Response Analysis; Forecast Error Variance Decomposition; IFRS 9; Expected credit loss; ECL; VAR; Vektorautoregression; Prognostisering; Impulsresponsanalys; Forecast error variance decomposition;

   Abstract : In this master thesis, the impact of forward-looking macroeconomic information under IFRS 9 is studied using fictional data from a Swedish mortgage loan portfolio. The study employs a time series analysis approach and employs vector autoregression models to model expected credit loss parameters with multiple incorporated macroeconomic parameters. READ MORE

6. 5. The impact from oil price shocks on the Trade Balance : The case of the two Nordic brothers

   University essay from Umeå universitet/Nationalekonomi

   Author : Viktor Boman; [2019]
   Keywords : ;

   Abstract : This paper investigates the relationship between oil price shocks on two measures of oil importers and exporter´s trade balances, namely the Merchandise Trade balance and Non-oil trade balance. The paper also aims to analyse whether oil price fluctuation tend to explain a smaller or larger part of the variability on the Trade and Non-oil trade balance. READ MORE