Sökning: "heteroscedasticity"
Visar resultat 1 - 5 av 37 uppsatser innehållade ordet heteroscedasticity.
1. Unconventional Monetary Policy in the United States : An empirical study of the quantitative easing (QE) effects on households and firms
Kandidat-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)Sammanfattning : Quantitative Easing is an unconventional instrument when conducting monetary policy with the aim of stimulating the economy. The instrument is a complementary tool when changing the nominal interest rate is no longer effective. LÄS MER
2. The Sensitivity of Banks' Stock Returns to the interest rate risk and exchange rate risk: A Case Study of Germany and South Africa
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : The purpose of this paper is to interrogate the single and joint effect interest and exchange rate movements have on banks’ stock returns. This study also aims to compare the volatility of the banks’ stock returns for countries in different markets using both the short and long-term interest rate and the respective exchange rates. LÄS MER
3. The impact of foreign direct investment on economic growth for countries in Latin America
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : This paper examines how Foreign Direct Investment (FDI) affects Economic Growth and Total Factor Productivity (TFP) for recipient countries in Latin America. The study investigates whether FDI generates positive spillover effects, leading to a higher increase in TFP than domestic investments. LÄS MER
4. A small sample study of some sandwich estimators to handle heteroscedasticity
Kandidat-uppsats, Uppsala universitet/Statistiska institutionenSammanfattning : This simulation study sets out to investigate Heteroscedasticity-Consistent Covariance Matrix Estimation using the sandwich method in relatively small sample sizes. The different estimators are evaluated on how accurately they assign confidence intervals around a fixed, true coefficient, in the presence of random sampling and both homo- and heteroscedasticity. LÄS MER
5. A heteroscedastic volatility model with Fama and French risk factors for portfolio returns in Japan
Kandidat-uppsats, Stockholms universitet/Statistiska institutionenSammanfattning : This thesis has used the Fama and French five-factor model (FF5M) and proposed an alternative model. The proposed model is named the Fama and French five-factor heteroscedastic student's model (FF5HSM). The model utilises an ARMA model for the returns with the FF5M factors incorporated and a GARCH(1,1) model for the volatility. LÄS MER