Sökning: "PVAR"

Hittade 2 uppsatser innehållade ordet PVAR.

  1. 1. Approaching reverse causality with a Two-Stages Panel VAR: an application to growth and institutions

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Alice Dominici; [2018]
    Nyckelord :Panel Vector Autoregressive models; Reverse Causality; Institutions; Economic Development; Social Capital;

    Sammanfattning : A number of florid academic debates in the field of empirical economics are characterized by vivid discussions around the issue of reverse causality. One of these is the discourse around the relationship between institutional quality and growth. LÄS MER

  2. 2. Leverage and Volatility

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Ola Knut Eric Lithman; [2010]
    Nyckelord :Leverage; volatility; asymmetric volatility; leverage effect; leverage hypothesis; volatility feedback; VAR; PVAR; risk premium; GARCH; APARCH; Conditional CAPM; volatility decomposition; Business and Economics;

    Sammanfattning : This paper attempts to contribute to existing knowledge through an explicit threefold purpose. Initially, the importance of leverage in explaining equity return volatility is determined through two fixed effects panel data estimations. LÄS MER