Essays about: "vektor autoregression."

Showing result 1 - 5 of 7 essays containing the words vektor autoregression..

  1. 1. The development of the financialsystem and economic growth in Sweden : A Granger causality analysis

    University essay from Karlstads universitet/Handelshögskolan (from 2013)

    Author : Velander Karl; Callerud Karin; [2020]
    Keywords : Granger-Causality; Vector Autoregression Model; economic growth; stock market; bank sector; Granger-Kausalitet; Vektor Autoregressiv Modell; ekonomisk tillväxt; aktiemarknaden; banksektorn;

    Abstract : .... READ MORE

  3. 2. Multiple Time Series Analysis of Freight Rate Indices

    University essay from KTH/Matematisk statistik

    Author : Simon Koller; [2020]
    Keywords : VAR; Vector Autoregression; Impulse Response Function; Forecasting; Freight Rates; Shipping; Seaborne trade; BDI; BDTI.; VAR; Vektor Autoregression; Impulse Response Function; Prognostisering; Fraktrater; Sjöfart; Sjöburen Frakt; BDI; BDTI.;

    Abstract : In this master thesis multiple time series of shipping industry and financial data are analysed in order to create a forecasting model to forecast freight rate indices. The data of main interest which are predicted are the two freight rate indices, BDI and BDTI, from the Baltic Exchange. READ MORE

  4. 3. Time to purchase your ownhouse : The resistance of housing investments againstmacroeconomic shocks

    University essay from KTH/Fastigheter och byggande

    Author : Quinglin Ouyang; [2020]
    Keywords : House price index; Sharpe ratio; macroeconomic shocks; vector auto-regression; bostadsprisindex; Sharpe ratio; makroekonomiska chocker; vektor autoregressiva-modeller;

    Abstract : Housing is both a durable good and an investment vehicle, which makes it importantin people’s daily life aswell as for a nation’s economy. This thesis innovatively applies the Sharpe ratio on evaluating the performance of the US residentialhousing market within the time period from 2005:Q1 to 2019:Q3, andinvestigates how this performance would react upon macroeconomic shocks,including sudden changes in GDP growth rate and personal income growthrate, by establishing a vector auto-regression model with the lag order of four. READ MORE

  5. 4. Can Bitcoin, and other cryptocurrencies, be modeled effectively with a Markov-Switching approach?

    University essay from KTH/Matematisk statistik

    Author : Thomas Maupin; [2019]
    Keywords : ;

    Abstract : This research is an attempt at deepening the understanding of hyped cryptocurrencies. A deductive nature is used where we attempt to estimate the linear dependencies of cryptocurrencies with four different time series models. READ MORE

  6. 5. GDP forecasting and nowcasting : Utilizing a system for averaging models to improve GDP predictions for six countries around the world

    University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

    Author : Otto Lundberg; [2017]
    Keywords : Forecast evaluation; Nowcast; GDP; Vector autoregression; Machine learning; System for averaging models;

    Abstract : This study was issued by Swedbank because they wanted too improve their GDP growth forecast capabilites.  A program was developed and tested on six countries; USA, Sweden, Germany, UK, Brazil and Norway. READ MORE