Sökning: "ARIMAX-modellen"
Hittade 2 uppsatser innehållade ordet ARIMAX-modellen.
1. Modelling Non-Maturing Deposits: Examining the Impact of Repo Rates and Volume Dynamics on Valuation Using Regression, Time Series Analysis, and Vasicek Methods
Master-uppsats, KTH/Matematik (Avd.)Sammanfattning : This thesis focuses on modelling non-maturing deposits (NMD) and has been written in collaboration with Svenska Handelsbanken. The methodology includes regression analysis and time series analysis, with the Repo rate serving as an exogenous variable in both models. LÄS MER
2. Forecasting Non-Maturing Liabilities
Master-uppsats, KTH/Matematisk statistikSammanfattning : With ever increasing regulatory pressure financial institutions are required to carefully monitor their liquidity risk. This Master thesis focuses on asserting the appropriateness of time series models for forecasting deposit volumes by using data from one undisclosed financial institution. LÄS MER