Sökning: "static cointegration"

Hittade 3 uppsatser innehållade orden static cointegration.

  1. 1. International Diversification Benefits : A Cointegrating Analysis Based on China, Europe and Russia

    Magister-uppsats, Högskolan i Jönköping/IHH, Företagsekonomi

    Författare :Stefan Ryschkow; SIQI LU; [2018]
    Nyckelord :Causality; diversification; dynamic cointegration; static cointegration; structural break;

    Sammanfattning : This thesis investigates the short term and the long term cointegration relations between European and Chinese, European and Russian stock markets, with a goal to define international diversification benefits. Whereas Russia and China are considered as developing countries, Europe represents a developed market. LÄS MER

  3. 2. Algorithmic Trading in CDS and Equity Indices Using Statistical Arbitrage

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Melker Samuelsson; Tobias Ek; [2017]
    Nyckelord :Algorithmic Trading; CDS indices; Equity futures; Markov Regime Switch ing Models; Cointegration; Mathematics and Statistics;

    Sammanfattning : Historical data shows a strong relationship between hourly changes in CDS index iTraxx Main and equity futures EURO STOXX 50. We hypothesize that the relatively stable relationship should allow us to trade the two markets. LÄS MER

  4. 3. Can the forecast of the cotton price be improved using a model based upon economic variables?

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Camilla Olén; Tobias Norrman Andersson; [2013]
    Nyckelord :Cotton; VECM; Forecasting; Out-Of-Sample; Business and Economics;

    Sammanfattning : The purpose of this thesis is to find a model, which is based on economic variables that can forecast the cotton price better than commonly used benchmark models. A vector error correction model is used because of the existence of non-stationary variables and one cointegration relation in the data. LÄS MER