Relevant bibliographies by topics / VECM Models

Contents

  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers
  6. Reports

Academic literature on the topic 'VECM Models'

Author: Grafiati
Published: 4 September 2021
Last updated: 12 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'VECM Models.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "VECM Models"

1

BRAILSFORD, T. J., JACK PENM, and R. D. TERRELL. "TESTING PPP BY MEANS OF ZNZ PATTERNED VECM." International Journal of Theoretical and Applied Finance 11, no. 04 (2008): 345–62. http://dx.doi.org/10.1142/s021902490800483x.

Full text
Abstract:
Vector error-correction models (VECM) are increasingly being used to capture dynamic relationships between financial variables. Estimation and interpretation of such models can be enhanced if zero restrictions are allowed in the coefficient matrices. Conventional use of full-order models may weaken the power of statistical inferences due to over-parameterization. The paper demonstrates the usefulness of this approach for the analysis of exchange rate relationships. Specifically, the paper examines the relationship between the money supply and the Euro and provides a test of purchasing power pa
APA, Harvard, Vancouver, ISO, and other styles
2

Darrat, Ali F., M. Zhong, R. M. Shelor, and R. N. Dickens. "FORECASTING CORPORATE PERFORMANCE: VECM COMPARISON WITH OTHER TIME SERIES MODELS." Studies in Economics and Finance 19, no. 1/2 (1998): 49–61. http://dx.doi.org/10.1108/eb028752.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Soto, Paula Andrea, and Juan Carlos Ruilova Teran. "Arbitragem Estatística: Uma Abordagem por VECM." Brazilian Review of Finance 15, no. 4 (2018): 537. http://dx.doi.org/10.12660/rbfin.v15n4.2017.65761.

Full text
Abstract:
This work develops a statistical arbitrage model which was tested on the Brazilian stock market. Prices were modeled using VECM (Vector Error Correction Models) to create a self-financing, market-neutral, long/short trading strategy. In this strategy, deviations in the long-term equilibrium of prices are identified in order to create buy and sell signals. Portfolios with common trends were selected by means of Principal Component Analysis. The viability of this strategy was empirically addressed using simulations on these portfolios. Its performance was also compared to other long/short tradin
APA, Harvard, Vancouver, ISO, and other styles
4

Pereira, Marcos Vinicius Lopes, Leonardo Carneiro De Araújo, and Robert Aldo Iquiapaza. "Cointegração e previsibilidade de abordagens VECM para o Ibovespa." Brazilian Review of Finance 18, no. 2 (2020): 82. http://dx.doi.org/10.12660/rbfin.v18n2.2020.79162.

Full text
Abstract:
<p>The present research compares multivariate models applied to the IBovespa time series analysis. Macroeconomic variables, commodities and market indices are regressors suggested by the literature. The chosen approach uses a vector error correction model (VECM) alongside unit root and cointegration tests, robust under heteroskedasticity. The impact of national and international economic instability was controlled. To accomplish this, recessive cycles, in Brazil or in the United States, and the Brazilian electoral period were taken into account. In general, the evaluated models failed to
APA, Harvard, Vancouver, ISO, and other styles
5

Mugableh, Mohamed Ibrahim, and Mohammad Salem Oudat. "Economic Growth and Financial Development nexus in Malaysia: Dynamic Simultaneous Equations Models." Asian Journal of Finance & Accounting 10, no. 1 (2018): 143. http://dx.doi.org/10.5296/ajfa.v10i1.12736.

Full text
Abstract:
This paper estimates the equilibrium and causality relationships among gross domestic product, energy consumption, financial development, foreign direct investment inflows, and gross fixed capital formation. Different econometrics tests like descriptive statistics, ARCH, KPSS unit root, Johansen and Juselius’s co-integration, VECM Granger causality, and ARDL equilibrium relationships have been employed in Malaysia over the (1971−2013) period. The correlation matrix results indicate a linear association among variables. The null hypotheses of Heteroscedasticity and non-stationary have been reje
APA, Harvard, Vancouver, ISO, and other styles
6

Mugableh, Mohamed Ibrahim. "Does Monetary Policy Affect Economic Growth in Jordan? Evidence from Ordinary Least Square Models." International Business Research 12, no. 1 (2018): 27. http://dx.doi.org/10.5539/ibr.v12n1p27.

Full text
Abstract:
The main objective of this paper is to analyze equilibrium and dynamic causality relationships between monetary policy tools and economic growth in Jordan for the period (1990-2017). For this purpose, it considers the autoregressive distributed lag (ARDL) and vector error correction (VEC) models estimations. The results of ARDL approach show that monetary policy variables (i.e., real interest rate and money supply) have positive impact on economic growth in long-run and short-run except inflation rate. In addition, the results of VECM indicate bidirectional causal relationships between economi
APA, Harvard, Vancouver, ISO, and other styles
7

Ajayi, Olaoluwa Vincent. "COMPARING MULTIVARIATE MODELS’ FORECASTS OF INFLATION FOR BRICS AND OPEC COUNTRIES." Business, Management and Education 17, no. 2 (2019): 152–72. http://dx.doi.org/10.3846/bme.2019.10556.

Full text
Abstract:
Purpose – This study identifies the most appropriately selected multivariate model for forecasting inflation in different economic environments. In specifying the multivariate models, the study test for the orders of integration of variables and for those that are nonstationary. For non-stationary variables, this study examines whether they are cointegrated. Engle and Granger (1987) establish that a cointegrating equation can be represented as an error correction model that incorporates both changes and levels of variables such that all of the elements are stationary. However, VARs estimated w
APA, Harvard, Vancouver, ISO, and other styles
8

Tsuji, Chikashi. "Dynamic Relations of Consumer Prices: A Case Study of Recent Effects on the Japanese Headline CPI." Journal of Social Science Studies 3, no. 2 (2016): 28. http://dx.doi.org/10.5296/jsss.v3i2.8991.

Full text
Abstract:
<p>This study attempts to empirically examine the relations between the headline consumer price index (CPI) and several other CPIs in Japan by applying the vector error correction models (VECMs). Our investigations derive the following interesting findings. First, we reveal that as to our four combinations of the CPIs tested in this paper, 1) all variable coefficients in the cointegrating equations are statistically significant in our VECM models and the statistical significance is very strong. Thus, we understand that our four bivariate combinations of the CPIs tested in this paper are
APA, Harvard, Vancouver, ISO, and other styles
9

Bekiros, Stelios, and Christos Avdoulas. "Revisiting the Dynamic Linkages of Treasury Bond Yields for the BRICS: A Forecasting Analysis." Forecasting 2, no. 2 (2020): 102–29. http://dx.doi.org/10.3390/forecast2020006.

Full text
Abstract:
We examined the dynamic linkages among money market interest rates in the so-called “BRICS” countries (Brazil, Russia, India, China, and South Africa) by using weekly data of the overnight, one-, three-, and six- months, as well as of one year, Treasury bills rates covering the period from January 2005 to August 2019. A long-run relationship among interest rates was established by employing the Vector Error Correction modeling (VECM), which revealed the validation of the Expectation Hypothesis Theory (EH) of the term structure of interest rates, taking into account long-run deviations from equ
APA, Harvard, Vancouver, ISO, and other styles
10

Su, Yong, Jacob Cherian, Muhammad Safdar Sial, et al. "Does Tourism Affect Economic Growth of China? A Panel Granger Causality Approach." Sustainability 13, no. 3 (2021): 1349. http://dx.doi.org/10.3390/su13031349.

Full text
Abstract:
The main purpose of the current study is to investigate if tourism affects economic growth of China. The data set has been acquired from the Beijing Municipal Bureau of Statistics, and the time span of the data set takes into account a 20-year time period, from 2000 to 2019. To determine the strength of the above-mentioned relationship previous models that have been used for this research are mainly VAR (vector auto-regression) and VECM (vector error correction) models. The VAR and VECM models have been conducted together with the Granger causality test. The internal revenue generated from tou
APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic "VECM Models"

1

Kinene, Alan. "FORECASTING OF THE INFLATION RATES IN UGANDA: : A COMPARISON OF ARIMA, SARIMA AND VECM MODELS." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-49388.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Kpondjo, Nadia. "Modélisation de la compétitivité industrielle." Thesis, Paris 10, 2016. http://www.theses.fr/2016PA100127.

Full text
Abstract:
Cette thèse traite de la notion de compétitivité des unités industrielles par l’indicateur de l’efficience obtenu avec la méthode DEA. L’efficience des alumineries de l’industrie de l’aluminium primaire est analysée sur quatre années distinctes 2005, 2009, 2010 et 2012. Les résultats révèlent que ces unités sont globalement peu efficientes techniquement (inefficience de l’ordre de 1 à 5% selon la technologie utilisée et la région) ; leurs combinaisons productives semblent donc peu optimales. De plus, l’inefficience est davantage prononcée au niveau du coût et de l’allocation de leurs ressource
APA, Harvard, Vancouver, ISO, and other styles
3

Sichula, Mwembe. "Impact of the global financial crisis and its implications for the Zambian banking sector: an econometric study." Thesis, University Of Cape Town, 2018. http://hdl.handle.net/11427/29936.

Full text
Abstract:
The research examines how the banking sector in Zambia faired in the wake of the global financial crisis, and the ensuing global recession that followed. Even prior to the crisis, weaknesses within the Zambian Banking sector were already identified by a World Bank/IMF financial sector assessment. The research therefore aims to gain a better understanding of the potential destabilizing factors to the Zambia Banking sector, and provide key players (Policymakers, Regulators and Banks) with knowledge on how best to manage and overcome these adverse effects, in times of a financial crisis. A Vect
APA, Harvard, Vancouver, ISO, and other styles
4

Cachapa, Filipe Miguel de Mira Ferreira Marques. "Os determinantes do preço do petróleo crude e o papel da especulação financeira." Master's thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/26519.

Full text
Abstract:
O preço do barril de petróleo crude representa uma série temporal de elevada volatilidade, que tem sido alvo de estudo por parte de diversos autores e investigadores. O estudo presente nesta dissertação de mestrado tem como objetivos: encontrar variáveis económicas e financeiras que influenciem significativamente o preço do barril de petróleo e ajudem a explicar as variações observáveis nessa série temporal; explorar o papel da especulação financeira relativamente à commodity em questão. Para tal, recorreu-se a técnicas de modelação financeira que permitiram analisar a influência de variáveis
APA, Harvard, Vancouver, ISO, and other styles
5

Hu, Zhejin. "Time Series Forecasting Model for Chinese Future Marketing Price of Copper and Aluminum." Digital Archive @ GSU, 2008. http://digitalarchive.gsu.edu/math_theses/60.

Full text
Abstract:
This thesis presents a comparison for modeling and forecasting Chinese futures market of copper and aluminum with single time series and multivariate time series under linear restrictions. For single time series, data transformation for stationary purpose has been tested and performed before ARIMA model was built. For multivariate time series, co-integration rank test has been performed and included before VECM model was built. Based on selected models, the forecasting shows multivariate time series analysis has a better result than single time series, which indicates utilizing the relationshi
APA, Harvard, Vancouver, ISO, and other styles
6

Havrlant, David. "Analýza vývoje cenové konvergence ČR k EU." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-77050.

Full text
Abstract:
The price level convergence of the transition economies towards the reference economies is linked to the relative price of nontradables, which is explained by the total factor productivity differentials in tradable and nontradable sector. Basic concept is offered by the Balassa Samuelson model and its modifications. Testable equations are derived from these models, and the panel data approach is applied for their estimation. The results indicate faster growth of the relative price of nontradables in transition economies as succession of higher growth rate of the total factor productivity in tr
APA, Harvard, Vancouver, ISO, and other styles
7

Hauer, Mariana. "Os modelos VAR e VEC espaciais : uma abordagem bayesiana." reponame:Biblioteca Digital de Teses e Dissertações da UFRGS, 2007. http://hdl.handle.net/10183/12585.

Full text
Abstract:
O objetivo deste trabalho é apresentar o Modelo Vetorial Autorregressivo (VAR) e uma das suas variações, o Modelo Vetorial de Correções de Erros (VEC), segundo uma abordagem Bayesiana, considerando componentes regionais, que serão inseridos nos modelos apresentados através de informações a priori que levam em consideração a localização dos dados. Para formar tais informações a priori são utilizados conceitos referentes à econometria espacial, como por exemplo, as relações de contigüidade e as implicações que estas trazem. Como exemplo ilustrativo, o modelo em questão será aplicado a um conjunt
APA, Harvard, Vancouver, ISO, and other styles
8

Sbarai, Nathália. "Análise da questão ambiental no âmbito do comércio internacional brasileiro." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-03012018-175259/.

Full text
Abstract:
Nas últimas décadas, identificou-se uma crescente preocupação com a sustentabilidade e com a qualidade ambiental, ao mesmo tempo em que se observou uma expansão do comércio internacional e uma procura por um maior grau de liberalização comercial. Nesse contexto, surgiram órgãos destinados a defender cada uma das questões, ambiental e comercial, e questionamentos e conflitos sobre os impactos que cada um deles estava causando ao outro. Diante desses questionamentos identificou-se, então, a importância da inter-relação entre as duas áreas, de forma que passou a buscar-se uma maior interação entr
APA, Harvard, Vancouver, ISO, and other styles
9

Junior, Marcos Matos Brito de Albuquerque. "Value creation: merger and consolidation in a company Consulting engineering. A case study with the Company Arcadis." Universidade Federal do CearÃ, 2014. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=12907.

Full text
Abstract:
nÃo hÃ<br>O objeto dessa dissertaÃÃo à analisar a influÃncia da receita lÃquida, patrimÃnio lÃquido total e dÃvidas de longo prazo sobre a rentabilidade do valor das aÃÃes da ARCADIS, atravÃs da aplicaÃÃo de mÃtodos de sÃries de tempo, tais como, teste de raiz unitÃria, teste de cointegraÃÃo de Johansen, o modelo autorregressivo vetorial (VAR), vetor de correÃÃo de erros (VEC), funÃÃo impulso-resposta e decomposiÃÃo da variÃncia dos erros de previsÃo. A base de dados à quadrimestral no perÃodo de janeiro de 2000 a dezembro de 2012. De acordo com o teste de cointegraÃÃo de Johansen, os resultad
APA, Harvard, Vancouver, ISO, and other styles
10

Radkovský, Štěpán. "Kvantifikace účinků fiskální politiky v ČR pomocí modelu SVEC." Doctoral thesis, Vysoká škola ekonomická v Praze, 2006. http://www.nusl.cz/ntk/nusl-134.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Books on the topic "VECM Models"

1

Makroökonometrische Anpassungsanalyse im Vector-Error-Correction-Model (VECM): Untersuchungen an ausgewählten Arbeitsmarkten. P. Lang, 2003.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
2

Tekin, Cengiz. Video education centers (VEC): A model proposal to improve the Video Education Project-AU/OEF. Anadolu University, 1990.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
3

Belke, Ansgar. US-Euro area monetary policy interdependence: New evidence from Taylor rule based VECMs. Universität Duisburg-Essen, Dept. of Economics, 2009.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
4

Belke, Ansgar. US-Euro area monetary policy interdependence: New evidence from Taylor rule based VECMs. Universität Duisburg-Essen, Dept. of Economics, 2009.

Find full text
APA, Harvard, Vancouver, ISO, and other styles
5

Furtado, Jose Henrique de Lacerda, Caio Ramon Queiroz, and Silvana Carloto Andres. Atenção Primária à Saúde no Brasil: desafios e possibilidades no cenário contemporâneo. Editora Amplla, 2021. http://dx.doi.org/10.51859/amplla.aps276.1121-0.

Full text
Abstract:
A conquista do direito à saúde, legitimada na Constituição Federal de 1988, inaugurou no país uma nova forma de organização da oferta dos serviços de saúde à população. Na perspectiva da saúde como um direito universal, o Sistema Único de Saúde (SUS) foi implantado no país, adotando a Atenção Primária à Saúde (APS) como estratégia principal de ampliação do acesso aos serviços ofertados. No entanto, não podemos deixar de reconhecer os diversos desafios que ela sempre enfrentou e vem enfrentando cronicamente, para se consolidar enquanto modelo assistencial que objetiva não só, ampliar o acesso a
APA, Harvard, Vancouver, ISO, and other styles
6

Santos, Marcos Pereira dos, Silvio Almeida Junior, and Ideilton Alves Freire Leal. Metodologias ativas e ensino híbrido: potencialidades e desafios. Editora Amplla, 2021. http://dx.doi.org/10.51859/amplla.mae504.1121-0.

Full text
Abstract:
Num mundo em profunda transformação, a educação precisa ser muito mais flexível, híbrida, digital, ativa, diversificada. Os processos de aprendizagem são múltiplos, contínuos, híbridos, formais e informais, organizados e abertos, intencionais e não intencionais. (MORAN, 2017, p.23)1 É fato que a busca constante por modelos de ensino e aprendizagem que forneçam informações importantes para o desenvolvimento de competências, habilidades e técnicas faz com que a Educação seja um ramo, no contexto da Ciência, em constante processo de movimento. A alteração do “modelo bancário” ensinado nas escolas
APA, Harvard, Vancouver, ISO, and other styles
7

Rodrigues-Moura, Enrique, ed. Letras na América Portuguesa : autores – textos – leitores. University of Bamberg Press, 2021. http://dx.doi.org/10.20378/irb-50063.

Full text
Abstract:
Os textos produzidos na denominada América Portuguesa (1500-1822) abrangem os mais variados campos das letras ocidentais – lírica, épica, dramaturgia, historiografia, epistolografia, parenética, lexicografia, etc. – e seguem um modelo retórico-poético e teológico-político comum, próprio das Letras do Ancien Régime. Manuscritos e impressos escritos em várias línguas (português, principalmente, mas também em latim, castelhano, francês, italiano, tupi-guarani, língua geral, etc.), por um número de autores considerável (Pero Vaz de Caminha, José de Anchieta, Antônio Vieira, Francisco Manuel de Mel
APA, Harvard, Vancouver, ISO, and other styles

Book chapters on the topic "VECM Models"

1

Hoffman, Dennis L., and Robert H. Rasche. "Higher Dimensional VECM Models with Long-Run Money Demand Functions." In Aggregate Money Demand Functions. Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-009-1814-6_7.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Hoffman, Dennis L., and Robert H. Rasche. "Analysis of Three Variable VECM Models Including Demand Functions for Real Balances." In Aggregate Money Demand Functions. Springer Netherlands, 1996. http://dx.doi.org/10.1007/978-94-009-1814-6_6.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Penm, Jack, and R. D. Terrell. "The Recursions of Subset VECM/State-Space Models and Their Applications to Nonlinear Relationships of Nickel Price Formation in Conditions of Climate Change." In Nonlinear Financial Econometrics: Forecasting Models, Computational and Bayesian Models. Palgrave Macmillan UK, 2011. http://dx.doi.org/10.1057/9780230295223_10.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

Stephansen, Cathrine, Anders Bjørgesæter, Odd Willy Brude, et al. "An ERA Acute Model Overview." In Assessing Environmental Risk of Oil Spills with ERA Acute. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-70176-5_3.

Full text
Abstract:
AbstractERA Acute is a model for environmental risk assessment of acute discharges. The calculations follow a common framework for all environmental compartments, whilst maintaining the mechanistic integrity of each compartment and/or VEC group, by using compartment-specific inputs of oil exposure and VEC-specific geographical distribution, vulnerability and recovery-defining parameters/functions. The method allows for using three different levels of detailing in VEC in the exposure and impact calculations. For the highest level of detail, a second step calculates recovery times in three time-factors, as well as the ERA Acute-specific RDF which combines the extent of impact and recovery. The continuous functions of impact and recovery calculations are presented in this chapter, separately for all four compartments. All data are calculated in grid cells, facilitating the use of GIS for viewing inputs and results. The methodology adds up impacts from grid cells to populations, and calculates result statistics from single simulations to scenarios, to multi-scenario DSHAs and cases.
APA, Harvard, Vancouver, ISO, and other styles
5

Pierini, Andrea, and Alessia Naccarato. "A Multivariate VEC-BEKK Model for Portfolio Selection." In Topics in Theoretical and Applied Statistics. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-27274-0_27.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Kaewsompong, Nachatchapong, Woraphon Yamaka, and Paravee Maneejuk. "Export Price and Local Price Relation in Longan of Thailand: The Bivariate Threshold VECM Model." In Beyond Traditional Probabilistic Methods in Economics. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-030-04200-4_74.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Labuschagne, Coenraad C. A., Niel Oberholzer, and Pierre J. Venter. "A Vector Error Correction Model (VECM) of FTSE/JSE SA Listed Property Index and FTSE/JSE SA Capped Property Index." In Advances in Panel Data Analysis in Applied Economic Research. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-70055-7_8.

Full text
APA, Harvard, Vancouver, ISO, and other styles
8

Zhu, Yuefeng, Xingju Wang, Yaning Qiao, and Jiang Shu. "Thermal Cracking and Fatigue Analysis of Recycled Asphalt Mixture Using DCT Test and S-VECD Model." In Proceedings of GeoShanghai 2018 International Conference: Transportation Geotechnics and Pavement Engineering. Springer Singapore, 2018. http://dx.doi.org/10.1007/978-981-13-0011-0_52.

Full text
APA, Harvard, Vancouver, ISO, and other styles
9

Bhowmik, Debesh. "Econometric Analysis of India's Foreign Direct Investment Inflows." In Foreign Direct Investments (FDIs) and Opportunities for Developing Economies in the World Market. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-3026-8.ch012.

Full text
Abstract:
In this chapter, the author explains the trend lines, random walk, stationary, structural breaks, and volatility of FDI inflows in India during 1971-2015. Both log linear and exponential trends are significant. FDI inflows are stationary and showed four structural breaks in 1985, 1994, 2000, and 2006. The author found the relation among FDI inflows, growth rate, interest rate, inflation rate, exchange rate, fiscal deficit, external debt, and trade openness with the help of Granger causality, Johansen cointegration test, and vector error correction models. Trace statistic has four cointegrating equations, and Max Eigen statistic has three cointegrating equations. The speed of the vector error correction process is more or less slow except for change in interest rate and change in inflation rate, which are significant where VECM is stable and diverging. Limitations and future scope of research is added. Policy recommendations are also included.
APA, Harvard, Vancouver, ISO, and other styles
10

Cantzos, Constantine, Petros Kalantonis, Aristidis Papagrigoriou, and Stefanos Theotokas. "The Impact of Economic Sentiment, Consumer, Producer and Investor's Confidence Indices on Stock Returns of the Listed Companies in FTSE-20 in Greece." In Advances in Finance, Accounting, and Economics. IGI Global, 2018. http://dx.doi.org/10.4018/978-1-5225-6114-9.ch007.

Full text
Abstract:
This chapter examines the relationship between stock returns of companies listed in the FTSE-20 on the Athens Exchange and behavioral indicators. The research is based on the behavioral APT model, which examines stock returns' risk factors through the involvement of macroeconomic variables and behavioral indicators. The data is the closing price of 17 shares listed in the FTSE-20 index, a number of macroeconomic variables, and a series of behavioral indicators for the period of January 2001-December 2014. Regressions were conducted with dependent variable stock returns of a portfolio invested equally in these 17 stocks. In addition, the research tests the existence of long-run and short-run equilibrium and causality. The change in the industrial production index along with the risk premium have a positive and significant impact on the portfolio returns. Johansen's test showed that there is a long-run equilibrium between stock returns, macroeconomic variables, and behavioral indicators. The VECM and VAR models showed that there is not long and short-run causality, not even Granger causality. No similar research has been conducted in Greece, thus it fills a literature gap.
APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "VECM Models"

1

Ferreira, Nuno Rafael Barbosa, Diana Aldea Mendes, and Vivaldo Manuel Pereira Mendes. "Comparative multivariate forecast performance for the G7 Stock Markets: VECM Models vs deep learning LSTM neural networks." In CARMA 2020 - 3rd International Conference on Advanced Research Methods and Analytics. Universitat Politècnica de València, 2020. http://dx.doi.org/10.4995/carma2020.2020.11616.

Full text
Abstract:
The prediction of stock prices dynamics is a challenging task since these kind of financial datasets are characterized by irregular fluctuations, nonlinear patterns and high uncertainty dynamic changes.The deep neural network models, and in particular the LSTM algorithm, have been increasingly used by researchers for analysis, trading and prediction of stock market time series, appointing an important role in today’s economy.The main purpose of this paper focus on the analysis and forecast of the Standard &amp;amp; Poor’s index by employing multivariate modelling on several correlated stock ma
APA, Harvard, Vancouver, ISO, and other styles
2

Suharsono, Agus, Auliya Aziza, and Wara Pramesti. "Comparison of vector autoregressive (VAR) and vector error correction models (VECM) for index of ASEAN stock price." In INTERNATIONAL CONFERENCE AND WORKSHOP ON MATHEMATICAL ANALYSIS AND ITS APPLICATIONS (ICWOMAA 2017). Author(s), 2017. http://dx.doi.org/10.1063/1.5016666.

Full text
APA, Harvard, Vancouver, ISO, and other styles
3

Zhang, Jianfeng, Wenxiu Hu, and Xin Zhang. "The Relative Performance of VAR and VECM Model." In 2010 International Conference on Information Management, Innovation Management and Industrial Engineering (ICIII). IEEE, 2010. http://dx.doi.org/10.1109/iciii.2010.195.

Full text
APA, Harvard, Vancouver, ISO, and other styles
4

ICHIMURA, M., and K. KAWAHIGASHI. "PIONIC MODES STUDIED BY QUASIELASTIC $(\vec p, \vec n)$ REACTIONS." In Proceedings of the 7th International Spring Seminar on Nuclear Physics. WORLD SCIENTIFIC, 2002. http://dx.doi.org/10.1142/9789812778383_0055.

Full text
APA, Harvard, Vancouver, ISO, and other styles
5

Dias, Cristina, Carla Santos, Maria Varadinov, and João Tiago Mexia. "Model validation and vec operators." In INTERNATIONAL CONFERENCE OF COMPUTATIONAL METHODS IN SCIENCES AND ENGINEERING 2018 (ICCMSE 2018). Author(s), 2018. http://dx.doi.org/10.1063/1.5079167.

Full text
APA, Harvard, Vancouver, ISO, and other styles
6

Dghais, Amel Abdoullah, and Mohd Tahir Ismail. "Relationship between stock market of UK and MENA: Wavelet transform and MS-VECM model." In 2015 International Symposium on Technology Management and Emerging Technologies (ISTMET). IEEE, 2015. http://dx.doi.org/10.1109/istmet.2015.7359048.

Full text
APA, Harvard, Vancouver, ISO, and other styles
7

Lima, Luan, Anderson Uchôa, Carla Bezerra, Emanuel Coutinho, and Lincoln Rocha. "Visualizing the Maintainability of Feature Models in SPLs." In VIII Workshop on Software Visualization. Sociedade Brasileira de Computação - SBC, 2020. http://dx.doi.org/10.5753/vem.2020.14522.

Full text
Abstract:
This paper presents data visualizations obtained from the application of 15 measures used to support the maintainability evaluation of Software Product Line (SPL) and Dynamic SPL (DSPL) Feature Models (FMs). To identify these visualizations, we applied a survey to classify a set of 40 measures for evaluating the (D)SPL FMs maintainability. Five visualizations were designed from this classification to analyze the extensibility, static variability, dynamic variability, and structural complexity of the FMs. As result, the experts concluded the designed visualizations assist in FMs maintainability
APA, Harvard, Vancouver, ISO, and other styles
8

Lestari, Reni. "Analysis of Stock Market Integration Among ASEAN Countries by Using Vector Error Correction Model (VECM) Approach." In Japan International Business and Management Research Conference. RSF Press & RESEARCH SYNERGY FOUNDATION, 2020. http://dx.doi.org/10.31098/jibm.v1i1.220.

Full text
Abstract:
Globalization has driven the economy of countries to relate to each other. It brings relationships in the capital among countries in the world, especially in ASEAN region countries. This study aimed to analyze the integration of the stock market among countries in the ASEAN region. The stock market was analyzed are the Indonesia Stock Exchange, Malaysia Stock Exchange, Singapore Stock Exchange, Thailand Stock Exchange, Vietnam Stock Exchange, and Philippine Stock Exchange. This study using the Vector Error Correction Model (VECM) as the method. The result of this study shows that, in the long
APA, Harvard, Vancouver, ISO, and other styles
9

Zhu, Qian, and Meiliang He. "Tests on causal relationships between CO2 emissions and economic growth in China based on VECM model." In 2013 2nd International Symposium on Instrumentation & Measurement, Sensor Network and Automation (IMSNA). IEEE, 2013. http://dx.doi.org/10.1109/imsna.2013.6743270.

Full text
APA, Harvard, Vancouver, ISO, and other styles
10

Xiang, Wanyu. "Empirical analysis of the effects of monetary policy on house prices��Based on the VECM model." In 2nd International Conference on Science and Social Research (ICSSR 2013). Atlantis Press, 2013. http://dx.doi.org/10.2991/icssr-13.2013.135.

Full text
APA, Harvard, Vancouver, ISO, and other styles

Reports on the topic "VECM Models"

1

Rasche, Robert H. Identification of Dynamic Economic Models from Reduced Form VECM Structures: An Application of Covariance. Federal Reserve Bank of St. Louis, 2000. http://dx.doi.org/10.20955/wp.2000.011.

Full text
APA, Harvard, Vancouver, ISO, and other styles
2

Hoffman, Dennis, and Robert H. Rasche. STLS/US-VECM 6.1: A Vector Error-Correction Forecasting Model of the US Economy. Federal Reserve Bank of St. Louis, 1997. http://dx.doi.org/10.20955/wp.1997.008.

Full text
APA, Harvard, Vancouver, ISO, and other styles
We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!

To the bibliography