Essays about: "Johansen’s Cointegration"
Found 4 essays containing the words Johansen’s Cointegration.
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1. The impact of macroeconomic factors on the performance of European REIT markets: An empirical analysis of macroeconomic influences on the British, French and Belgian REIT indexes from 2007-2017
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The concept of real estate investment trust has been first introduced in the US market in 1960. However, it has not been until the last decade that we have seen the increased adoption of the concept around the world. READ MORE
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2. Exploring the Relationship Between HousingPrices and Stock Prices
University essay from KTH/Industriell ekonomi och organisation (Inst.)Abstract : This study investigates the long- and short-run relationship between stock- and housingprices in Finland, Denmark, Norway and Sweden between 1987-2017 and 1995-2017 with data from OECD statistics. By using interest rate as a control variable and Johansen's Test for Cointegration, the results show a significant relationship for Finland during the period 1995-2017. READ MORE
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3. Testing for Cointegration in Multivariate Time Series : An evaluation of the Johansens trace test and three different bootstrap tests when testing for cointegration
University essay from Örebro universitet/Handelshögskolan vid Örebro UniversitetAbstract : In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when the error covariance matrix is nonstationary, and we also investigate the properties of three different bootstrap cointegration tests. Earlier studies indicate that the Johansen trace test is not robust in presence of heteroscedasticity, and tests based on resampling methods have been proposed to solve the problem. READ MORE
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4. Financial Integration in Europe : a Cointegration Analysis of European Stock Markets
University essay from Institutionen för ekonomisk och industriell utveckling; Filosofiska fakultetenAbstract : This thesis has studied short and long-term dependence structures between European stock markets. Johansen's test for cointegration and Granger's test for non-causality have been applied in order to measure the degree of financial integration in Europe. READ MORE