Sökning: "Bayesian vector autoregressive model"

Visar resultat 6 - 7 av 7 uppsatser innehållade orden Bayesian vector autoregressive model.

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

   Master-uppsats, 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

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

   Master-uppsats, 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