Essays about: "vector autoregression"

Showing result 1 - 5 of 59 essays containing the words vector autoregression.

  1. 1. Time Dependencies Between Equity Options Implied Volatility Surfaces and Stock Loans, A Forecast Analysis with Recurrent Neural Networks and Multivariate Time Series

    University essay from KTH/Matematik (Avd.)

    Author : Simon Wahlberg; [2022]
    Keywords : RNN; LSTM; GRU; vector autoregression; implied volatility surface; stock loan; equity options; multivariate time-series analysis; financial mathematics.; Rekursiva neurala nätverk; LSTM; GRU; VAR; implicerade volatilitetsytor; aktielån; aktieoptioner; multidimensionell tidsserieanalys; finansiell matematik.;

    Abstract : Synthetic short positions constructed by equity options and stock loan short sells are linked by arbitrage. This thesis analyses the link by considering the implied volatility surface (IVS) at 80%, 100%, and 120% moneyness, and stock loan variables such as benchmark rate (rt), utilization, short interest, and transaction trends to inspect time-dependent structures between the two assets. READ MORE

  2. 2. The Relationship between Oil Prices and Inflation – the Role of Oil Dependency

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Per Almgren; Isabelle Holmberg; [2022]
    Keywords : Inflation; Macroeconomics; Oil-price Shocks; Structural Vector Autoregression SVAR ; time series data.; Business and Economics;

    Abstract : In the last decades, due to geopolitical tensions, climate change, and technological advancements, countries worldwide are becoming less dependent on oil. This thesis aims to establish if decreased oil dependence weakens the impact of oil price shocks on inflation, thus contributing to the existing literature on the oil-inflation relationship. READ MORE

  3. 3. The Impacts of the Czech Economy on the Slovak Economy – Evidence from the VAR model

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Matús Rozvadský; Duyun Lei; [2022]
    Keywords : Regression analysis; vector autoregression; dynamic model; Czech economy; Slovak economy; Business and Economics;

    Abstract : This paper studies the effect of the Czech economy on the Slovak Republic. Specifically, we analyze the general economic relationship as well as responses of macroeconomic variables of Slovakia to shocks in the Czech Republic. Firstly, we present the theoretical background of their relationship on top of which we build a regression analysis. READ MORE

  4. 4. Determinants of Inflation - Evidence from Sweden

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Gustav Sundén; Emanuel Skeppås; [2022]
    Keywords : Bayesian Vector Autoregression; Structural Vector Autoregression; New Keynesian Phillips Curve; Inflation; Sign and Zero Restrictions; Business and Economics;

    Abstract : This thesis examines what have been the main drivers of inflation in Sweden in recent years. This is done through the New Keynesian Phillips Curve with marginal cost which serves as the theoretical background to explain inflationary behavior. READ MORE

  5. 5. Anomaly Detection on Embedded Sensor Processing Platform

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Yichen Cao; [2021]
    Keywords : Anomaly Detection; ARIMA; STL; LSTM; VAR; Avvikelsedetektion; ARIMA; STL; LSTM; VAR;

    Abstract : Embedded platforms are often used as a sensor data processing node to collect data and transmit the data to the remote server. Due to the poor performance and power limitation, data processing was often left to the remote server. READ MORE