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.
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Showing 1 to 20 of 98 for “"Vector autoregressive"”.
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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 …
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Multistage mean-variance portfolio selection in cointegrated vector autoregressive systems
… a simple linear system known as a cointegrated vector autoregressive (VAR) process. While MVO portfolio choice remains the most popular formulation for single-stage asset allocation problems in both academia and industry, computational difficulties traditionally limit its use in a dynamic, …
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Inferring Biological Networks from Time-Course Observations Using a Non-linear Vector Autoregressive Model
Cellular functions are increasingly viewed as being regulated through networks of molecules working in parallel. Discovery and characterization of these networks is fundamental to understanding diseases and developing treatments. In this work we present a method for inferring biological networks …
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The contribution of Foreign Direct Investment (FDI) to domestic employment levels in South Africa: a Vector Autoregressive Approach
… (StatsSA) database. The study mainly used the Vector Autoregressive/ Vector Error Correction Mechanism (VAR/VECM) approach to conduct empirical analysis. However, the study also employed single equation estimation techniques, including the Ordinary Least Squares (OLS), Fully Modified Ordinary …
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Transmission of US monetary policy to the world economies. A time varying multi-country factor augmented vector autoregressive approach
In this thesis, I examine the international transmission of US monetary policy shocks across euro area and Asian countries. For this purpose I use a time varying Factor Augmented VAR (FAVAR) model which I estimate by using Bayesian techniques. I first examine all the possible channels through which …
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The Transmission of Negative Interest Rates in the Euro Area [védés előtt]
… Euro Area economies. With error correction and vector autoregressive models, I study how negative interest rates are transmitted into commercial bank rates. The results show that transmission through the interest rate channel changes in Eurozone countries when interest rates sink into negative …
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Asymmetric effects of monetary policy: A Markov-Switching SVAR approach
… using the Markov-switching structural vector autoregressive (MS-SVAR) framework, utilising time-series data from 1994: Q1 to 2019: Q4. The study makes use of bank rate (interest rate), inflation and output gap. The first model is a structural vector autoregressive (VAR) model that takes …
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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 …
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Modeling nonlinear, nonstationary, vector time series : methods and applications.
… nonlinear time series models: Momentum threshold autoregressive and functional coefficient autoregressive models. These models are then extended to vector time series. We illustrate utility by applying the models to real data examples in geology and photovoltaics, respectively. The layers of …
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^The^ causes of German unemployment: a structural VAR approach
… development. With the help of Structural Vector AutoRegressive (SVAR) approach, this thesis aims at shedding more light on the role of macroeconomic shocks hitting the economy over time and their persistent effects due to structural rigidities in the labor market in accounting for the high …
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Trade linkages and growth in South Africa: an SVAR analysis
… trading partners over time using a structural vector autoregressive framework. We examine the impact of shocks emanating from the EU, the US, China, Japan, India and Brazil on South Africa’s output growth through both direct and indirect trade linkages, by considering the changing trade …
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Empirical essays on inferring information from options and other financial derivatives
… Spillover effects are then examined using vector autoregressive analysis, impulse response functions and forecast error variance decomposition. Empirical results show that the U.S. is unambiguously the dominant source of uncertainty in the world. Correlation between markets largely depends …
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Monetary policy transmission mechanism in Botswana: A time-varying parameter VAR approach
… reforms since 1989. The time-varying parameter vector autoregressive (TVP-VAR) model with stochastic volatility is employed for quarterly time series data from 1994Q1 to 2018Q4. The study evaluates how the responses of real non-mining output and price levels to the Bank Rate, exchange rate, and …
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La rentabilidad de los seguros de no vida: un enfoque Bayesiano (2009-2022)
… this premise, we have chosen to use the Bayesian Vector Autoregressive (BVAR) model for a panel database of the four largest insurance companies from August 2009 to December 2021. In this sense, the results obtained contributed to determine that there is a direct effect of investments and agency …
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Bayesian Applications in Financial Econometrics
… investigates their linkage by proposing a vector autoregressive infinite hidden Markov model. Our model has two advantages over the existing approaches in the literatures. In contrast to Markov switching models with fixed states, our model will learn the number of states from the data …
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Green, Clean, and Mean? China’s Foreign Direct Investment in Sub-Saharan Africa Economy
… an investigative study that utilized the Panel Vector Autoregressive (PVAR) model that examines the impact of China’s Foreign Direct Investment on the environment and economy of Sub-Saharan Africa (SSA). In evaluating this impact, 43 SSA countries were analyzed and subdivided into various income …
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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 …
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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 …
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Autoregressive Neural Network Processes - Univariate, Multivariate and Cointegrated Models with Application to the German Automobile Industry
… with nonlinear effects is introduced. Linear autoregressive processes are extended by neural networks to overcome the problem of nonlinearity. This idea is based on the universal approximation property of single hidden layer feedforward neural networks of Hornik (1993). Univariate …
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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 …
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