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 90 for “"engle"”.
-
The impact of macroeconomic variables on the Johannesburg Stock Exchange (JSE) indices
… the form of Dividend Discount Model(DDM) and an Engle and Granger cointegration model. The macroeconomic variables examined include inflation, money supply, exchange rates, index earnings, and interest rates. The data was gathered from various sources such as Bloomberg, and I-Net and was analysed …
-
Valor em risco auto-regressivo condicional : o caso de índices brasileiros
… variáveis podem ser relevantes á mensuração. Engle & Manganelli (2004) propuseram um nova metodologia para medir os riscos de investimento, o modelo CAViaR, que, além de permitir a inclusão dessas variáveis, permite avaliar a qualidade do ajuste. O principal objetivo desta dissertação é …
-
A multivariate GARCH model for the non-normal behaviour of financial assets
… conditional correlation (DCC) model proposed in Engle (2002) to the case of conditional returns supposed to follow an asymmetric multivariate Laplace (AML) distribution as presented in Kotz, Kozubowsky and Podgorski (2003). We prove that maximum likelihood estimator provides optimal estimates of …
-
Statistical arbitrage in South African financial markets
Engle and Granger’s (1987) co-integrating framework provides a useful method of analyzing the dynamics of non-stationary data in both the short and long run. However, despite its popularity in various areas of research, the application of co-integration to financial data has been limited. This …
-
Cointegration tests with smooth breaks and co-movements of international reserves
… In the second essay, we develop a new Fourier Engle-Granger (FEG2) co-integration test to approximate structural breaks in time-series. We note that a common-factor-restriction (CFR) is imposed in the Engle-Granger (EG) test. The restriction implies the identical long-run and short-run dynamics …
-
Applications of quantile regression to estimation and detection of some tail characteristics
… Value at Risk (CAViaR) models proposed by Engle and Manganelli (2004) based on quantile regression. Using the S&P 500 index as an example, we show that the proposed Bayesian approach adds value to the original estimation method of Engle and Manganelli in terms of both estimation and …
-
Impact of Exchange Rate on Trade Balance
… are stationary at their first difference. The Engle granger Cointegration Test shows that there is a long run relationship between Trade balance, Exchange rate, Tanzania’s GDP and World income. Our findings are as follows Exchange rate; World income and Tanzania’s GDP have positive relationship …
-
An investigation of the determinants of private investment: the case of Botswana
… the co-integration and Error Correction Model of Engle and Granger (1987).
-
Oxyconformity in Burrow-dwelling Crustaceans : Aerobic Metabolism of HEMISQUILLA ENSIGERA CALIFORNIENSIS
… off the coast of Southern California (Basch and Engle, 1989). In this experiment I measured the typical burrow oxygen level, time taken to deplete the oxygen in an inhabited, capped burrow, and tested the hypothesis that <em>H. ensigera</em>, like other burrow dwellers that have been examined, is …
-
Current account deficits and sustainability: evidence from South Africa
… The cointegration approach relies on the linear Engle-Granger, Johansen, Maki, ARDL tests, and nonlinear ARDL (NARDL) tests, on exports - imports, and investments – savings variables. The tests are applied to three data samples for robust results: annual data between 1946-2021, full quarterly …
-
Un marco doméstico conservador para una norma internacional progresista: el caso de la instauración del voto femenino en la Argentina
… en contextos locales, como aquellas de Levitt y Engle Merry (2009), Finnemore y Sikkink (1998), y Acharya (2004). El trabajo aborda la contraposición que existe entre el contenido de la Ley 13.010 de Derechos Políticos de la Mujer, la cual fue progresista en comparación a otras legislaciones …
-
Refining Value-at-Risk estimates: An Extreme Value Theory Approach
… test, Dowd (2002) bootstrap back-test, and Engle and Manganelli (2004) Dynamic Quantile test show that Value-at-Risk models constructed following extreme value theory produced reliable Value-at-Risk estimates. Furthermore, Value-at-Risk models incorporating the hybrid method for threshold …
-
A Critical Assessment of the Sustainability of South Africa's Fiscal Policy and Related Institutional Frameworks
… both expressed as percentages of GDP – while the Engle–Granger test was used to test the residuals of the regression between national government revenue and national government expenditure for a long-run relationship. A long-run relationship was found between these two variables, suggesting that …
-
Predicting performance on fluid intelligence from speed of processing, working memory, and controlled attention
… 1996) and the Controlled Attention hypothesis (Engle, Kane, & Tuholski, 1999; Kane & Engle, 2002). The first theory is based on a complex relation among age, speed, and working memory which is described as a Cascade. The alternative to this theory, the Controlled Attention hypothesis, is based …
-
Attitudes toward children: a comparison of high school students
… The "Child-Guidance Inventory" by T.L. Engle and Louis Snellgrove was the instrument used to test attitudes toward children. A statistical analysis, t-test, of the test results indicated that there was a significant difference between the test scores of the two groups. Child development …
-
EXPLORING AGE DIFFERENCES IN THE RESOURCE MODEL OF DEPLETION
… pan task (Unsworth, Heitz, Schrock, & Engle, 2005), as well as subjective measures of d epletion, following a controlled writing task. There was no effect of depletion on operation-span performance, possibly because working memory is not sensitive depletion. However, there was evidence …
-
Measuring built environment technology awareness using time-series analysis
… activities and Google Search traffic. Using Engle-Granger two-step cointegration test method, this study compares the awareness time-series of 208 built environment technologies in pairs. The results show that different awareness measures coexist and cointegrate, suggesting that invention, …
-
Studies on the gonadotrophic hormones of pituitary and placental origin
… A few years later Smith (1926) and Smith and Engle (1927), who developed for the first time a satisfactory tecnique of hypophyseotoay in rate, showed that total ablation of the anterior lob- of the pituitary caused profound atrophy of the gonads and accessory genitalia and that this phenomenon …
-
Price and liquidity discovery, jumps and co-jumps using high frequency data from the foreign exchange markets
… presented by Hasbrouck (1991) and Dufour and Engle (2000) by allowing the coefficients of both liquidity and trade activity to be time dependent. We find that liquidity time is characterized by a strong stochastic component and that liquidity shocks tend to have temporary effects when …
-
Unified Approach to Partially Linear Model and Cox Proportional Hazards Model with Missing Covariates
… al. (2013) to deal with partially linear model (Engle et al., 1986) and Cox proportional hazards model (Cox, 1972) with missing covariates. The unified approach possesses some superior characteristics in dealing with regression models with missing data. First, the unified approach requires less …
Page 1 of 5