Sökning: "Vector Autoregression Model"

Visar resultat 21 - 25 av 53 uppsatser innehållade orden Vector Autoregression Model.

1. 21. Multiple Time Series Analysis of Freight Rate Indices

   Master-uppsats, KTH/Matematisk statistik

   Författare :Simon Koller; [2020]
   Nyckelord :VAR; Vector Autoregression; Impulse Response Function; Forecasting; Freight Rates; Shipping; Seaborne trade; BDI; BDTI.; VAR; Vektor Autoregression; Impulse Response Function; Prognostisering; Fraktrater; Sjöfart; Sjöburen Frakt; BDI; BDTI.;

   Sammanfattning : In this master thesis multiple time series of shipping industry and financial data are analysed in order to create a forecasting model to forecast freight rate indices. The data of main interest which are predicted are the two freight rate indices, BDI and BDTI, from the Baltic Exchange. LÄS MER

3. 22. Time to purchase your ownhouse : The resistance of housing investments againstmacroeconomic shocks

   Master-uppsats, KTH/Fastigheter och byggande

   Författare :Quinglin Ouyang; [2020]
   Nyckelord :House price index; Sharpe ratio; macroeconomic shocks; vector auto-regression; bostadsprisindex; Sharpe ratio; makroekonomiska chocker; vektor autoregressiva-modeller;

   Sammanfattning : Housing is both a durable good and an investment vehicle, which makes it importantin people’s daily life aswell as for a nation’s economy. This thesis innovatively applies the Sharpe ratio on evaluating the performance of the US residentialhousing market within the time period from 2005:Q1 to 2019:Q3, andinvestigates how this performance would react upon macroeconomic shocks,including sudden changes in GDP growth rate and personal income growthrate, by establishing a vector auto-regression model with the lag order of four. LÄS MER

4. 23. Do global oil prices drive domestic food prices? : evidence from the Middle East countries

   Master-uppsats, SLU/Dept. of Economics

   Författare :Madina Alieva; [2019]
   Nyckelord :food price; crude oil price; cointegration; VECM; Middle East;

   Sammanfattning : This study investigates the dynamic relationship between global oil prices and domestic food prices across 11 countries of the Middle East. Using monthly data covering the period from January 2010 to October 2018, the study employs long-run cointegration tests, vector error correction model (VECM) and vector autoregression (VAR) model to examine the effect of global oil prices on domestic food prices in a sample of Middle East countries. LÄS MER

5. 24. House price modelling of Denmark’s municipalities using vector autoregression and gradient descent

   Kandidat-uppsats, Lunds universitet/Matematisk fysik; Lunds universitet/Fysiska institutionen

   Författare :Love Gillberg; [2019]
   Nyckelord :Physics and Astronomy;

   Sammanfattning : In this thesis, a house price evolution equation of Denmark's municipalities is proposed and solved using both an iterative optimization algorithm, and a closed form solution using Vector Autoregression. The quality of the solutions is investigated, analyzed and compared. LÄS MER

7. 25. The Impact of Climatic Disasters on Output and Prices: A Panel VAR-X Approach

   D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

   Författare :Agnes Magnusson; [2019]
   Nyckelord :Natural disasters; Economic growth; Inflation; Climate change;

   Sammanfattning : This paper sets out to study the short-term e ffects of climatic disasters on two macroeconomic variables: output and prices. The study makes use of a panel vector-autoregression model in the presence of endogenous variables and exogenous shocks (VAR-X), and applies it to a 1960--2017 cross-country panel. LÄS MER