Essays about: "Threshold Autoregressive Model"

Showing result 1 - 5 of 8 essays containing the words Threshold Autoregressive Model.

  1. 1. Navigating Uncertain Waters: A Bayesian Threshold VAR Approach to Understanding the Impact of Commodity Price Shocks on Inflation

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Cajsa Klass; Selin Scheuerer; [2023]
    Keywords : Uncertainty; Bayesian; Commodity Price Pass-Through; Inflation; Threshold VAR;

    Abstract : The Covid-19 pandemic in early 2020 led to unprecedented uncertainty, reducing the predictability of macroeconomic variables. At the same time, commodity price movements as a contributor to national consumer price inflation continue to surface in debates. READ MORE

  3. 2. Track Before Detect in Active Sonar Systems

    University essay from Uppsala universitet/Signaler och system

    Author : Johnny Ljung; [2021]
    Keywords : signal processing; active sonar systems; track-before-detect; target tracking; reverberation; signalbehandling; aktiva sonarsystem; spårning innan detektion; målspårning; reverberation;

    Abstract : Detection of an underwater target with active sonar in shallow waters such as the Baltic sea is a big challenge. This since the sound beams from the sonar will be reflected on the surfaces, sea surface and sea bottom, and the water volume itself which generates reverberation. READ MORE

  4. 3. Forecasting anomalies in time series data from online production environments

    University essay from Linköpings universitet/Institutionen för datavetenskap

    Author : Raymond Sseguya; [2020]
    Keywords : Infor Sweden AB; time series forecasting; anomaly detection; ARIMA; neural network autoregression; eXtreme Gradient Boosting package;

    Abstract : Anomaly detection on time series forecasts can be used by many industries in especially forewarning systems that can predict anomalies before they happen. Infor (Sweden) AB is software company that provides Enterprise Resource Planning cloud solutions. READ MORE

  5. 4. Non-linear prediction in the presence of macroeconomic regimes

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Emmanuel Latim Okumu; [2016]
    Keywords : Markov Switching; Regime Switching; Smooth-transition; Time-varying parameters; Threshold model;

    Abstract : This paper studies the predictive performance and in-sample dynamics of three regime switching models for Swedish macroeconomic time series. The models discussed are threshold autoregressive (TAR), Markov switching autoregressive (MSM-AR), and smooth-transition autoregressive (STAR) regime switching models. READ MORE

  6. 5. An empirical study of the Value-at-Risk of the renewable energy market and the impact of the oil price

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Euan Anderson; [2015]
    Keywords : Two-sided Kupiec test; Student-t distribution; Normal distribution; Threshold GARCH TGARCH ; Oil; Generalized Autoregressive Heteroskedasticity GARCH ; Exponentially weighted moving average EWMA ; Volatility weighted historical simulation VWHS ; Basic historical simulation BHS ; rolling-window; Value-at-Risk VaR ; Renewable energy; Business and Economics;

    Abstract : Renewable energy is gaining increasing importance in the generation of power due to the finite existence of fossil fuels and concerns about climate change. As its demand grows financial interest from investors’ increases, thus it is important to find the most effective way of quantifying the risk of the renewable energy market. READ MORE