Sökning: "Johansens Cointegration test"
Hittade 5 uppsatser innehållade orden Johansens Cointegration test.
1. The impact of macroeconomic factors on the performance of European REIT markets: An empirical analysis of macroeconomic influences on the British, French and Belgian REIT indexes from 2007-2017
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : The concept of real estate investment trust has been first introduced in the US market in 1960. However, it has not been until the last decade that we have seen the increased adoption of the concept around the world. LÄS MER
2. Exploring the Relationship Between HousingPrices and Stock Prices
Master-uppsats, KTH/Industriell ekonomi och organisation (Inst.)Sammanfattning : This study investigates the long- and short-run relationship between stock- and housingprices in Finland, Denmark, Norway and Sweden between 1987-2017 and 1995-2017 with data from OECD statistics. By using interest rate as a control variable and Johansen's Test for Cointegration, the results show a significant relationship for Finland during the period 1995-2017. LÄS MER
3. Testing for Cointegration in Multivariate Time Series : An evaluation of the Johansens trace test and three different bootstrap tests when testing for cointegration
Magister-uppsats, Örebro universitet/Handelshögskolan vid Örebro UniversitetSammanfattning : In this paper we examine, by Monte Carlo simulation, size and power of the Johansens trace test when the error covariance matrix is nonstationary, and we also investigate the properties of three different bootstrap cointegration tests. Earlier studies indicate that the Johansen trace test is not robust in presence of heteroscedasticity, and tests based on resampling methods have been proposed to solve the problem. LÄS MER
4. Svenska aktiemarknaden : Hur påverkas den svenska aktiemarknaden av makroekonomiska variabler
Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro UniversitetSammanfattning : Bakgrund och Problem: Aktiemarknaden påverkas både av inhemska och utländska faktorer. Därför är det av intresse att se vilka makroekonomiska variabler som påverkar den svenska aktiemarknaden. LÄS MER
5. Financial Integration in Europe : a Cointegration Analysis of European Stock Markets
Master-uppsats, Institutionen för ekonomisk och industriell utveckling; Filosofiska fakultetenSammanfattning : This thesis has studied short and long-term dependence structures between European stock markets. Johansen's test for cointegration and Granger's test for non-causality have been applied in order to measure the degree of financial integration in Europe. LÄS MER