Essays about: "arma"

Showing result 6 - 10 of 51 essays containing the word arma.

  1. 6. 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. 7. Short-term forecasting Swedish annual real GDP growth using SARIMA models : A study in forecasting current year Swedish annual real GDP growth using SARIMA models with the Box-Jenkins methodology as a general framework

    University essay from Uppsala universitet/Nationalekonomiska institutionen

    Author : Mark Becker; [2023]
    Keywords : SARIMA; ARIMA; ARMA; Box-Jenkins; Real GDP; MAE;

    Abstract : Simulated current year annual real GDP growth forecasts for 2015-2021 are made using a chosen SARIMA model, with the Box-Jenkins methodology as a general modelling framework. The forecasts are compared to the actual outcomes and the Absolute Errors (AE) and the Mean Absolute Errors (MAE) are calculated for each year. READ MORE

  4. 8. Forecasting gold returns using principal component analysis from a large number of predictors

    University essay from Lunds universitet/Nationalekonomiska institutionen; Lunds universitet/Statistiska institutionen

    Author : Fredrik Allgén; [2023]
    Keywords : Forecasting; PCA; Gold; ARMA; Business and Economics;

    Abstract : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. READ MORE

  5. 9. Copula approach to fitting bivariate time series

    University essay from Lunds universitet/Matematisk statistik

    Author : Jun Wang; [2023]
    Keywords : VaR; Copula; ARMA-GARCH; Extreme Value Theory; GPD; Hill estimator; Mathematics and Statistics;

    Abstract : We apply the GARCH-copula method to estimate Value at Risk (VaR) for European and Stockholm stock indices. First, marginal distributions are estimated by the ARMA-GARCH model with normal, Student-t, and skewed t distributions. READ MORE

  6. 10. Forecasting gold returns using principal component analysis from a large number of predictors

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Fredrik Allgén; [2022]
    Keywords : Forecasting; Gold; Principal Component Analysis; ARMA; Business and Economics;

    Abstract : Gold is known in the financial world to be an important asset in unstable periods, especially as a hedge against inflation. If the gold price can be forecasted, it will be possible to strategically invest in gold rather than acquire it as a last-minute hedge against economic downturns. READ MORE