Sökning: "Bayesian vector autoregressive model"

Visar resultat 1 - 5 av 6 uppsatser innehållade orden Bayesian vector autoregressive model.

  1. 1. An Investigation of the Swedish Consumption Function : An Error-Correction Approach

    Magister-uppsats, Linnéuniversitetet/Institutionen för nationalekonomi och statistik (NS)

    Författare :Robert Pölder; [2017]
    Nyckelord :Consumption; consumption function; vector error-correction model; forecast accuracy; intercept correction; cointegration; Sweden; wealth effects; housing wealth; financial wealth; vector autoregressive model; Bayesian vector autoregressive model;

    Sammanfattning : This thesis examines the Swedish aggregate consumption function using the concept of cointegration, and explores whether consumption, income, financial wealth, and housing wealth share a long-run trend. The goal of the study was to determine the strength of this cointegrating relationship, the relative roles of housing wealth and financial wealth in the consumption function, and a suitable method for forecasting consumption. LÄS MER

  2. 2. A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Måns Unosson; [2016]
    Nyckelord :Bayesian VAR; Gibbs Sampling; State-space; Mixed Frequency Data; Steady-state; Macroeconometrics; Forecasting;

    Sammanfattning : This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-inverse Wishart prior for the dynamics and error covariance, a Gibbs sampler is proposed to sample the posterior distribution. LÄS MER

  3. 3. Forecasting Foreign Exchange Rates, A comparison between forecasting horizons and Bayesian vs. Frequentist approaches

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Max Nyström Winsa; [2014]
    Nyckelord :Mathematics and Statistics;

    Sammanfattning : Forecasting foreign exchange rates and financial asset prices in general is a hard task. The best model has often been shown to be a simple random walk, which implies that the price movements are unpredictable. In this thesis models that have been somewhat successful in the past are developed and investigated for different forecasting horizons. LÄS MER

  4. 4. Forecasting exchage rates using machine learning models with time-varying volatility

    Master-uppsats, Linköpings universitet/Statistik

    Författare :Ankita Garg; [2012]
    Nyckelord :Forecasting; exchange rates; machine learning models;

    Sammanfattning : This thesis is focused on investigating the predictability of exchange rate returns on monthly and daily frequency using models that have been mostly developed in the machine learning field. The forecasting performance of these models will be compared to the Random Walk, which is the benchmark model for financial returns, and the popular autoregressive process. LÄS MER

  5. 5. Exchange rate forecasting model comparison: A case study in North Europe

    Master-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Yu Yongtao; [2011]
    Nyckelord :multivariable time series models; exchange rate; forecasting comparison; forecasting accuracy; equal accuracy test;

    Sammanfattning : In the past, a lot of studies about the comparison of exchange rate forecasting models have been carried out. Most of these studies have a similar result which is the random walk model has the best forecasting performance. In this thesis, I want to find a model to beat the random walk model in forecasting the exchange rate. LÄS MER