Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 25 for “"Vector Autoregressive Model"”.
-
A MULTI-COUNTRY LINK VECTOR AUTOREGRESSIVE MODEL THEORY AND EVIDENCE
<p>Vector Autoregression (VAR) is an alternative to structural econometric model building, specifically in forecasting. The challenge of the VAR technique has been, however, limited to models of national and regional economies.</p><p>This dissertation extends the scope of the VAR technique with the …
-
Inferring Biological Networks from Time-Course Observations Using a Non-linear Vector Autoregressive Model
… an in silico E. coli network, we show that by modeling higher order interactions, the proposed method improves on earlier work that only considered linear interactions. We further show empirically that our proposed model selection criteria provides a good balance between sensitivity and …
-
The Short-term and Long-term Relationship between Public Sentiment and Insurgency Violence in 3 Southern Provinces of Thailand
… multivariate time-series analysis, namely Vector Autoregressive Model (VAR) and Vector Error Correction Model (VECM), and empirical system dynamics analysis, namely Convergent CrossMapping (CCM). The results show that the relationship between public sentiment and the insurgency violence are …
-
External Imbalances and the Valuation Channel
… variables, we make use of a Bayesian structural vector autoregressive model that is able to capture stylised features that relate to the volatility of financial returns. We find that an increase in returns acts in a similar way to that of an improvement in the trade balance, which provides a more …
-
Monetary policy and the stock market in South Africa: how do South African equity prices respond to expected and unexpected changes in the repo rate?
… economic sources underpinning that reaction a Vector autoregressive model is estimated. The results suggest that on average, a surprise rate hike of 100 basis points causes short term JSE All Share index total returns to decline by 2.71%. We also find that the stock market reacts positively …
-
Essays on Nonlinearities and Structural Breaks in the Relationships between Macroeconomic Variables
… using a correlated unobserved components model of aggregate data for output, sales, employment, and hours. The main finding is that employment now respond to demand shocks in a way that is consistent with just-in-time utilization of labor resources. The second and the third chapter focus …
-
Determinants of life insurance consumption: Evidence from Zambia
… utilised the Augmented Dickey-Fuller (ADF) test, Vector Autoregressive model (VAR) Autoregressive Distributed Lag (ARDL) and the Error Correction Model (ECM) in conducting econometric investigations. Findings from the study show that financial development negatively influences life insurance, …
-
The health-economic growth nexus: a lower and middle-income Sub-Saharan economies comparison
… exists for health. The study employed two Panel Vector Autoregressive models (PVAR) to investigate the relationship between health and economic growth. A Panel Vector Autoregressive model is an appropriate model for large panel data sets (Munyengwa, 2012). The results of the study support the …
-
Modeling daily electricity load curve using cubic splines and functional principal components
… Researchers have proposed many approaches to modeling electricity prices, real-time load, and day-ahead demand, with varying success. In this dissertation three new approaches to modeling and forecasting the 24-hour daily electricity load profiles are presented. The application of the proposed …
-
The Transition Mechanism of The Limited Access Order - The Emergence And Evolution of Institutions In Kenya
… of social orders and public choice theory a Vector Autoregressive Model was applied in order to evaluate this prediction of the limited access order theory. The results indicate that in inheriting colonial institutions and using them to bolster their elite networks through patronage, African …
-
A comparison of structural and non-structural econometric models in the Toronto office market
… in levels or estimated by an error correction model. Through the analysis of the structural models it is found that real rent shows significant momentum of real rent one year previous. As well the long-run supply curve is rising, while the real rent curve is not rising through the analysis …
-
Predictability of returns in commercial real estate : implications for investment decisions
… the United States. A rolling regression using a vector autoregressive model is employed to forecast returns and estimate the predictability of commercial real estate. Then the forecast model is used to construct simple rules regarding market timing. The classical efficient market theory suggests …
-
Modeling nonlinear, nonstationary, vector time series : methods and applications.
Methods for modeling nonlinear time series provide ways to extract and describe information from complex and dynamic processes. The class of nonlinear time series models is large. Rather than be exhaustive, we provide a review of two popular classes of nonlinear time series models: Momentum …
-
Marginal income tax rates and the U.K. economy: three essays
… rate (AMTR) measures in the U.K. by employing vector autoregressive (VAR) models. We identify these innovations by making certain assumptions about fiscal policy and then analyze the dynamic behavior of output, the interest rate, the exchange rate, and the trade balance in response to an …
-
An analysis of the impact of crude oil price shocks on the exchange rate in South Africa
… on the South African exchange rate, but their modelling, time period and variables differs. The intention of the current mini-thesis, however, is investigate the effect of crude oil prices on the exchange rate of South Africa from January 1980 to December 2014. The aim of this mini-thesis is to …
-
Marketing Expenses, Brand Equity, and a Firm's Financial Value
… as in the short term. Making use of the panel vector autoregressive model and orthogonalized impulse response analysis, this study provides empirical evidence of a link between strategic investments and brand value generation and finds feedback loops where advertising and research and …
-
Essays on Applied Macro- and Micro-Econometrics
… essay follows. In essay 1, I employ a structural Vector AutoRegressive model to disentangle demand and supply shocks in the global crude oil market and investigate their effects on the real price of natural gas in the United States. I identify the model by assuming that innovations to the real …
-
ESSAYS ON DIGITAL CURRENCY
… around the world. The Capital Asset Pricing Model and the Fama-French Three Factor Model are used to examine the systematic risk of Bitcoin, and the optimal proportion of Bitcoin in an investment portfolio is estimated by the mean-variance portfolio analyses. The results show that Bitcoin is …
-
Europos Sąjungos šalių valstybės skolos vertinimas /
… indicators, long-term statistical data analysis, vector autoregressive model (VAR), Granger causality test. Summarizing the theoretical part, it can be stated that the term public debt is used so often that it includes different concepts. Considering to the changing role of the governments, …
-
Volatility and return forecasting : time series and options-based methods
This thesis attempts to model and forecast returns and realized volatility using two different methods: time series models that exploit the historical information set and options-based approach that provides a natural forecast of return variation from listed option prices. Both univariate and …
Page 1 of 2