Sökning: "Granger Causality test"

Visar resultat 16 - 20 av 103 uppsatser innehållade orden Granger Causality test.

  1. 16. The multivariate time series analysis of the SEK/USD exchange rate

    Master-uppsats, Uppsala universitet/Sannolikhetsteori och kombinatorik

    Författare :Le Hong; [2022]
    Nyckelord :;

    Sammanfattning : In this thesis, we analyze the SEK/USD exchange rate by using the multivari-ate time series models. First we sort out the general workflow. Then we selectthe variables by the Granger causality test and design different combinationsof variables for models. LÄS MER

  3. 17. EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :My Phung; [2021-06-30]
    Nyckelord :stock markets; dependence structure; spillover effect; copula model; VAR-BEKK-GARCH model;

    Sammanfattning : This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. LÄS MER

  4. 18. Macroeconomic variables and their impact on the Swedish stock market

    Kandidat-uppsats, Södertörns högskola/Institutionen för samhällsvetenskaper

    Författare :Timur Cengiz; David Holmer; [2021]
    Nyckelord :Macroeconomics; Stocks; Macroeconomic variables; Stock market;

    Sammanfattning : The objective of this study is to investigate the impact of a few selected macroeconomic variables on the Swedish stock market index OMXS30. The study uses time series monthly data during the period 2000-2019. To investigate these relationships, the time series are transformed into stationary processes. LÄS MER

  5. 19. The Causal Relationship Between Human Rights and Economic Growth : A two-way causal relationship analysis using panel data Granger Causality test

    Kandidat-uppsats, Högskolan Dalarna/Institutionen för kultur och samhälle

    Författare :Agnes Eklund; [2021]
    Nyckelord :Human Rights; Human Development; Economic Growth; Economic Development; GDP; Granger Causality test; Panel Data;

    Sammanfattning : This study aims to investigate if there is any causal relationship between human rights and economic growth. The causality is tested in both directions, from human rights to economic growth and from economic growth to human rights, using a panel data Granger Causality test. LÄS MER

  7. 20. The Housing Bubble Situation in Third-level Cities in China : ACcase Study of Yangzhou

    Master-uppsats, KTH/Fastigheter och byggande

    Författare :Jiarui Lyu; [2021]
    Nyckelord :Housing bubble; Yangzhou; ADF test; Cointegration Analysis; Granger Causality; Regression Analysis; Bostadsbubbla; Yangzhou; ADF-test; ko-integrationsanalys; Granger-kausalitet; regressionsanalys;

    Sammanfattning : Housing bubbles could have a great impact on the economy of a country, especially for a country as large as China. Therefore, it is necessary to evaluate the housing bubble situation of a region. LÄS MER