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Dissertations / Theses on the topic 'Forecast error variance decomposition'

Author: Grafiati

Published: 4 June 2021

Last updated: 29 January 2023

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1

Agbenyegah, Benjamin K. "An econometric approach to measuring productivity: Australia as a case study." Thesis, Curtin University, 2007. http://hdl.handle.net/20.500.11937/219.

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Seminal papers of Solow (1957) and Swan (1956) stimulated debate among economists on the role of technical change in productivity improvements and for that matter economic growth. The consensus is that technological change accounts for a significant proportion of gross national product (GNP) growth in industrialised economies. In the case of Australia, the aggregate productivity performance was poor in the 1970s and 1980s, but picked up very strongly by the 1990s, and was above the OECD average growth level for the first time in its productivity growth history. However, this high productivity

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2

Rafiq, Shuddhasattwa. "Oil consumption, pollutant emission, oil proce volatility and economic activities in selected Asian Developing Economies." Thesis, Curtin University, 2009. http://hdl.handle.net/20.500.11937/693.

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It is now well established in the literature that oil consumption, oil price shocks, and oil price volatility may impact the economic activities negatively. Studies identifying the relationship between energy and/or oil consumption and output primarily take two different approaches. One approach includes energy or oil consumption in addition to output, labour, and capital. The other approach takes energy and/or oil, output and prices. Based on these two models most of the previous studies suggest energy conservation policies for different economies. However, none of the previous studies consid

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3

Agbenyegah, Benjamin Komla. "An econometric approach to measuring productivity : Australia as a case study /." Curtin University of Technology, School of Economics and Finance, 2007. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=17375.

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Seminal papers of Solow (1957) and Swan (1956) stimulated debate among economists on the role of technical change in productivity improvements and for that matter economic growth. The consensus is that technological change accounts for a significant proportion of gross national product (GNP) growth in industrialised economies. In the case of Australia, the aggregate productivity performance was poor in the 1970s and 1980s, but picked up very strongly by the 1990s, and was above the OECD average growth level for the first time in its productivity growth history. However, this high productivity

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4

Lanagan, Gareth Daniel Edward. "Weather forecast error decomposition using rearrangements of functions." Thesis, Aberystwyth University, 2012. http://hdl.handle.net/2160/b489892f-7607-4125-90fb-46d8376edf8f.

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This thesis applies rearrangement and optimal mass transfer theory to weather forecast error decomposition. Errors in weather forecasting are often due to displacement of key features; conventional error scores do not necessarily favour good forecasts, nor are they descriptive of how the forecast failed. We study forecast error decomposition, where error is split into an error due to displacement and an error due to differences in qualitative features. In its simple formulation, we seek re-arrangements of the forecast which are a best fit to the actual data, and then find the “least kinetic en

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5

Wolff, Laion. "RELAÇÃO ENTRE AS DEZ PRINCIPAIS BOLSAS DE VALORES DO MUNDO E SUAS CO-INTEGRAÇÕES." Universidade Federal de Santa Maria, 2011. http://repositorio.ufsm.br/handle/1/8207.

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>Globalization provoked in financial markets by means stock exchanges an interchange among the markets over the world. The aim of this study was to examine the relationship of the ten major main economic index of the world represented in New York (DJIA, S&P500 e Nasdaq), Tokyo (NIKKEI 225), London (FSTE 100), São Paulo (IBOV), Shanghai (SSE180), Paris (CAC-40), Frankfurt (DAX-30) and Buenos Aires (Merval) and looking for its co-integration, to demonstrate the behavior of these indexes and the long run equilibrium, from January of 20

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6

Singh, Shiu Raj. "Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis." Diss., Lincoln University, 2008. http://hdl.handle.net/10182/774.

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Abstract of thesis submitted in partial fulfilment of the requirements for the Degree of Master of Commerce and Management Dynamics of macroeconomic variables in Fiji : a cointegrated VAR analysis By Shiu Raj Singh The objective of this study is to examine how macroeconomic variables of Fiji inter-relate with aggregate demand and co-determine one another using a vector autoregression (VAR) approach. This study did not use a prior theoretical framework but instead used economic justification for selection of variables. It was found that fiscal policy, which is generally used as a stabili

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7

Golab, Anna. "An investigation into the volatility and cointegration of emerging European stock markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2013. https://ro.ecu.edu.au/theses/572.

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This dissertation examines the interaction between European Emerging markets including cointegration, volatility, correlation and spillover effects. This study is also concerned with the process of the enlargement of the European Union and how this affects the emerging markets of newcomers. The twelve emerging markets studied are Bulgaria, the Czech Republic, Cyprus, Estonia, Hungry, Latvia, Lithuania, Malta, Poland, Romania, Slovakia and Slovenia, which are all progressing very rapidly in their reforms and domestic economic stability. The majority of prior studies on stock market comovements

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8

Akpan, Nkereuwem I. "The Impact of External Shocks on Nigeria’s GDP Performance within the Context of the Global Financial Crisis." Thesis, University of Bradford, 2018. http://hdl.handle.net/10454/17454.

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This research examines the impact of external shocks on Nigeria’s output performance for the period 1981 – 2015. It aims to bring to the fore the importance of considering external shocks during policy design and implementation. The multivariate VAR and VECM frameworks were used to evaluate the impact of the shock variables on Nigeria’s output performance and to achieve the stated objectives. Findings show that the external shock and domestic policy variables have short-run effects on Nigeria’s output performance. Also, all the measures of external shocks and domestic policies display some via

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9

Gonçalves, Daniel Fernandes. "Business cycle dynamics across Europe: a cluster analysis." Master's thesis, 2016. http://hdl.handle.net/10071/13216.

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JEL Classification: E32, E37<br>This dissertation aims to analyze the dynamics of business cycles across European countries between 1960Q1 and 2016Q1. For such purpose we identify country-groups of national deviation cycles through Hierarchical Agglomerative Clustering with the Ward’s method. The clustering technique suggests the existence of three country-groups, which include, aside from other countries, France and Spain in Cluster 1, United Kingdom and Denmark in Cluster 2 and Germany and Italy in Cluster 3. We execute an extensive analysis on business cycle stylized facts, synchroniz

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10

Xu, Jin. "Essays in Financial Econometric Investigations of Farmland Valuations." Thesis, 2013. http://hdl.handle.net/1969.1/150974.

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This dissertation consists of three essays wherein tools of financial econometrics are used to study the three aspects of farmland valuation puzzle: short-term boom-bust cycles, overpricing of farmland, and inconclusive effects of direct government payments. Essay I addresses the causes of unexplained short-term boom-bust cycles in farmland values in a dynamic land pricing model (DLPM). The analysis finds that gross return rate of farmland asset decreases as the farmland asset level increases, and that the diminishing return function of farmland asset contributes to the boom-bust cycles in fa

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11

Alfaro, Leonel Murillo. "Automated time series demand forecast for luxury fashion online retail company." Master's thesis, 2020. http://hdl.handle.net/10362/93779.

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Internship Report presented as the partial requirement for obtaining a Master's degree in Data Science and Advanced Analytics<br>Demand forecasting for a retail company in luxury fashion is a challenging process due to the highly complex and demanding customer profile. As the company keep growing, more and more partners are demanding the expected volume of orders for better operational capacity planning and to justify the return of their investment. This project aims to create an automatic and scalable forecasting process to ensure customer experience and partnership profitability. By stu

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12

Meniago, Christelle. "Financial crisis and household indebtedness in South Africa : an econometric analysis / Christelle Meniago." Thesis, 2012. http://hdl.handle.net/10394/16193.

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The 2007-2008 US subprime mortgage crisis evolved into a financial crisis that negatively affected many economies in the world and therefore it was widely referred to as the global financial crisis. Since the beginning of this financial crisis of 2008-2009, South Africa experienced a significant increase in its household debt to income ratio. In the main, the aim of this dissertation is to investigate the prominent factors contributing to the rise in the level of household debt in South Africa. Also, we study the response of household debt to various shocks originating from the aforementioned

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13

Wu, Hui Ying, and 吳蕙瑛. "Greek Credit Crisis on the Causal Relationship Change between the Exchange Rate, the Gold Price, the Oil Price, the Interest Rate and the Price Level and to Study the Forcast Error Variance Decomposition of the Impulse Response - VAR Model Application." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/72393131891752701622.

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碩士<br>僑光科技大學<br>企業管理研究所<br>100<br>This research is to explore the Greek debt crisis to the causal relationship change between the exchange rate, the gold price, the oil price, the interest rate and the price level, and to study the forcast error variance decomposition of the impulse response. After the Chow forecast test, the partition cointegration test and VECM model and VAR model, we find: From January, 2001 to November, 2009, the cointegration relationship between the exchange rate, the gold price, the oil price and the interest rate,the price level. From December, 2009 to November, 2011,

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14

Booysen, Chris. "Credit growth, asset prices and financial stability in South Africa :|ba policy perspective / Chris Booysen." Thesis, 2013. http://hdl.handle.net/10394/10502.

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The worldwide economic downturn and recession in the second half of 2008 were mainly the result of the crises that influenced the world‟s financial markets. After the financial crisis, the extended period of rapid credit growth that was driven by asset price increases, especially property prices, came to an end. This identified two problems central to the theme of this study. The first problem was illustrated through the recent crisis, which showed that problems in the financial sector have a potentially destabilising effect on the economy, to such an extent that they also affect the real econ

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15

Nchoe, Kgomotso Charlotte. "Effect of foreign direct investment inflows on economic growth : sectoral analysis of South Africa." Diss., 2016. http://hdl.handle.net/10500/21691.

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A number of developing countries have been on a quest to attract foreign direct investment (FDI) with the intention of increasing capital inflow through technological spillovers and transfer of managerial skills. FDI can increase economic growth and development of a country by creating employment, and by doing so, increasing economic activity that will lead to economic growth. South Africa is one of the economies that strive to attract more FDI inflows into the country to be able to improve its economy, and the country has adopted policies that drive the motive to attract FDI inflows. This stu

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