Essays about: "VECM"
Showing result 21 - 25 of 64 essays containing the word VECM.
-
21. Emission Allowances in the European Union Emissions Trading System
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : The first part of the thesis analyses the short term behavior of daily emission allowance (EUA) log returns with a focus on volatility dynamics in the recent market environment. In this part, I present a historical overview of the European Union Emission Trading System (EU ETS), analyze the stylized facts of the time series, employ appropriate time series models, and assess model in-sample and out-of-sample performance. READ MORE
-
22. EMPIRICAL ANALYSIS OF THE DOMESTIC SAVING BEHAVIOUR IN RWANDA
University essay from Umeå universitet/NationalekonomiAbstract : This study examines the relationship between gross domestic savings, exports of goods and services, foreign direct investment, population growth rate, final expenditure, and gross domestic income in Rwanda for the period that stretches from 1988-2018. The Johansen co-integration test indicated the presence of a co-integrating relationship between variables. READ MORE
-
23. Do global oil prices drive domestic food prices? : evidence from the Middle East countries
University essay from SLU/Dept. of EconomicsAbstract : This study investigates the dynamic relationship between global oil prices and domestic food prices across 11 countries of the Middle East. Using monthly data covering the period from January 2010 to October 2018, the study employs long-run cointegration tests, vector error correction model (VECM) and vector autoregression (VAR) model to examine the effect of global oil prices on domestic food prices in a sample of Middle East countries. READ MORE
-
24. Cointegration among cryptocurrencies : A cointegration analysis of Bitcoin, Bitcoin Cash, EOS, Ethereum, Litecoin and Ripple
University essay from Umeå universitet/NationalekonomiAbstract : 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
-
25. The developed market currency tango: Carry trade and hedging during 2014 – 2019. VECM and DCC approach
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : In this study carry trade activity in AUD, CAD, EUR and YEN vis the USD between 2014 – 2019 was analysed. The first approach employs a VECM, analyse evidence of carry trade recorded in the exchange rate pairs Futures, Forwards and Spot. READ MORE