Essays about: "unit root test"

Showing result 21 - 25 of 57 essays containing the words unit root test.

  1. 21. INTERGRATION OF EUROPEAN EQUITY MARKETS

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Manne Ringström; Victor Tennby; [2016-02-02]
    Keywords : Intergration; equity markets; euro; indices; AEX; BEL20; CAC40; DAX30; LuxX; STOXX EUROPE; MSCI; risk premium seasonality; financial crisis;

    Abstract : This thesis analyses the integration levels of European equity markets towards a regional market and the world market. In addition, we test for seasonality and unit root presence in the equity market indices. We use the returns of national equity indices of five euro-countries. READ MORE

  3. 22. Identifying asset pricing bubbles: Testing for explosive behavior in the NASDAQ and STOXX 600 Europe Technology indices

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Tim Smits Van Oyen; Mathias Elmer; [2016]
    Keywords : Asset pricing bubble; explosive behavior; right-tailed ADF; forward recursive regression; Business and Economics;

    Abstract : A forward recursive estimation method is used to examine stock market data on unit root against explosive behavior as an indication of financial exuberance. Through specific dividend-stock pricing modeling, the recursive implementation of a right-tailed ADF test allows for directly testing the price index series on explosive behavior and its corresponding dividend series on non-explosive behavior. READ MORE

  4. 23. Information filter based sensor fusion for estimation of vehicle velocity

    University essay from KTH/Maskinkonstruktion (Inst.)

    Author : Michael Refors; [2016]
    Keywords : ;

    Abstract : In this thesis, the possibility to estimate the velocity of a Heavy-duty vehicle (HDV) based on the Global Positioning System (GPS), an Inertial Measurement Unit (IMU) and the propeller shaft tachometer is investigated. The thesis was performed at Scania CV AB. READ MORE

  5. 24. Housing prices, stock prices and interest rates: a cointegration analyses of the Stockholm region

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Johanna Melinder; Katja Melnikova; [2016]
    Keywords : Cointegration; Housing prices; Stock prices; Interest rates; Stockholm region; Johansen’s test; Unit root;

    Abstract : This study examines the dynamic interaction between housing prices, stock prices and the repo rate in the Stockholm region by using the Johansen tests for cointegration. Several studies have been done on this topic, but the results are mixed across the world, and not many have been done in Scandinavia. READ MORE

  6. 25. Consequence of Interactive Effect of Exchange Rate Volatility and Trade on GDP Growth

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : S M Abdullah; Salina Siddiqua; [2015]
    Keywords : Exchange Rate Volatility; Trade – GDP ratio; Cross Sectional Dependence; Panel Unit Root; GDP Growth; Fixed Effect; Business and Economics;

    Abstract : Exchange rate volatility has been regarded as a vital macroeconomic concern for the policy makers and its impact on economic growth has gained much attention from the researchers in recent years. Existing studies tried to analyze the impact focusing on financial development. READ MORE