Relevant bibliographies by topics / VECTOR AUTOREGRESSIVE (VAR) MODELS / Dissertations / Theses
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Dissertations / Theses on the topic 'VECTOR AUTOREGRESSIVE (VAR) MODELS'

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Published: 9 March 2023

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1

Brüggemann, Ralf. "Model reduction methods for vector autoregressive processes /." Berlin [u.a.] : Springer, 2004. http://www.loc.gov/catdir/enhancements/fy0818/2003067373-d.html.

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2

Serpeka, Rokas. "Analyzing and modelling exchange rate data using VAR framework." Thesis, KTH, Matematik (Inst.), 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-94180.

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Abstract   In this report analysis of foreign exchange rates time series are performed. First, triangular arbitrage is detected and eliminated from data series using linear algebra tools. Then Vector Autoregressive processes are calibrated and used to replicate dynamics of exchange rates as well as to forecast time series. Finally, optimal portfolio of currencies with minimal Expected Shortfall is formed using one time period ahead forecasts
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Wong, Kin-man, and 黃健文. "A vector autoregression (VAR) model of housing starts and housing price in Hong Kong." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hdl.handle.net/10722/194603.

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It is observed that there are many different models about housing price. Yet, this is relatively smaller number of studies about housing starts. This thesis is an empirical study to work out the relationship between housing starts, housing price and other economic and policy instrumental factors. To achieve this objective, a Vector Autoregression (VAR) model is built since there is inter-relationship between housing starts and housing price. By applying previous models filled with the research gaps, a new VAR model about the housing starts and housing price in Hong Kong is built. Four hypot
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Andersson, Sebastian. "On the Specification of Local Models in a Global Vector Autoregression: A Comparison of Markov-Switching Alternatives." Thesis, Uppsala universitet, Statistiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-226918.

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In this paper, focus is on the global vector autoregressive (GVAR) model. Its attractiveness stems from an ability to incorporate global interdependencies when modeling local economies. The model is based on a collection of local models, which in general are estimated as regular VAR models. This paper examines alternative specifications of the local models by estimating them as regime-switching VAR models, where transition probabilities between different states are studied using both constant and time-varying settings. The results show that regime-switching models are appealing as they yield i
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Louw, Riëtte. "Forecasting tourism demand for South Africa / Louw R." Thesis, North-West University, 2011. http://hdl.handle.net/10394/7607.

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Tourism is currently the third largest industry within South Africa. Many African countries, including South Africa, have the potential to achieve increased economic growth and development with the aid of the tourism sector. As tourism is a great earner of foreign exchange and also creates employment opportunities, especially low–skilled employment, it is identified as a sector that can aid developing countries to increase economic growth and development. Accurate forecasting of tourism demand is important due to the perishable nature of tourism products and services. Little research on foreca
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Abdul-Hadi, Ahmad Ibrahim Malawi. "The impact of monetary policy on consumer durable goods : empirical study by using vector autoregression (VAR) models /." free to MU campus, to others for purchase, 1999. http://wwwlib.umi.com/cr/mo/fullcit?p9953841.

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7

Liu, Guangling. "Forecasting with DSGE models : the case of South Africa." Thesis, University of Pretoria, 2008. http://hdl.handle.net/2263/25396.

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The objective of this thesis is to develop alternative forms of Dynamic Stochastic General Equilibrium (DSGE) models for forecasting the South African economy and, in turn, compare them with the forecasts generated by the Classical and Bayesian variants of the Vector Autoregression Models (VARs). Such a comparative analysis is aimed at developing a small-scale micro-founded framework that will help in forecasting the key macroeconomic variables of the economy. The thesis consists of three independent papers. The first paper develops a small-scale DSGE model based on Hansen's (1985) indivisible
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Litvac, Basiliki Theophane Calochorios. "Núcleos de inflação no Brasil e poder preditivo da inflação total." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/10598.

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Submitted by Basiliki Theophane Calochorios Litvac (basiliki.litvac@gmail.com) on 2013-03-06T22:27:11Z No. of bitstreams: 1 dissertacao_Basiliki_final_rev.pdf: 681459 bytes, checksum: 86dfce2ca595dfd933509d266c084a2d (MD5)<br>Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-03-07T12:53:10Z (GMT) No. of bitstreams: 1 dissertacao_Basiliki_final_rev.pdf: 681459 bytes, checksum: 86dfce2ca595dfd933509d266c084a2d (MD5)<br>Made available in DSpace on 2013-03-07T13:14:10Z (GMT). No. of bitstreams: 1 dissertacao_Basiliki_final_rev.pdf: 681459 bytes, che
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Figueiredo, Marta Isabel Fragoso Peralta de. "Análise da modelação dos preços do mercado de habitação na área de Lisboa entre 1972 e 2011." Master's thesis, Instituto Superior de Economia e Gestão, 2012. http://hdl.handle.net/10400.5/10453.

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Mestrado em Gestão e Avaliação Imobiliária<br>O propósito deste estudo é investigarmos empiricamente os determinantes que influenciaram a formação do preço da habitação em Portugal. A evolução dos preços da habitação em Portugal reveste-se de grande importância para os profissionais do sector. Conhecer, estudar e analisar a evolução deste mercado ao longo dos últimos anos permite aos profissionais tomar decisões fundamentadas em análises profundas e cuidadas sobre quais foram os determinantes que influenciaram a procura e a oferta que por sua vez determinaram os preços. Pretendemos conhecer o
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Alsaedi, Yasir H. "An Investigation of the Effects of Solar and Wind Prices on the Australia Electricity Spot and Options Markets: A Time Series Analysis." Thesis, Griffith University, 2021. http://hdl.handle.net/10072/410472.

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Electricity pricing is recognised as being among the most important contemporary policy issues in Australia, and it also represents a critical component of current discussions concerning energy and climate-change policies. Attempts to move forward with energy and climate-change policies have been mostly stymied by concerns regarding potential increases in electricity prices. In relation to such policy discussions, renewable electricity generation is currently considered to be a fundamental factor influencing electricity prices. Due to the increasing penetration of both wind and solar power gen
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Fonseca, Eder Lucio da. "Modelo de cointegração variando com o tempo: abordagem via ondaletas." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/45/45133/tde-26032017-175337/.

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Duas ou mais séries não estacionárias são cointegradas se existir uma relação de equilíbrio de longo prazo entre elas. Nas últimas décadas, o interesse na literatura sobre o tema cointegração aumentou de maneira expressiva. Os modelos tradicionais supõem que o vetor de cointegração não varia ao longo do tempo. Entretanto, existem evidências na literatura de que esta suposição pode ser considerada muito restritiva. Utilizando o conceito de ondaletas, propomos um modelo de correção de erros vetorial em que é permitido ao vetor de cointegração variar ao longo do tempo. Diferente de trabalhos sim
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12

Sugita, Katsuhiro. "Bayesian analysis of cointegrated vector autoregressive models." Thesis, University of Warwick, 2004. http://wrap.warwick.ac.uk/66201/.

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This thesis concerns econometric time series modelling of cointegrated multivariate systems using a Bayesian approach. The Bayesian approach has become increasingly attractive among researchers in the fields such as biology, though still only a relatively few econometricians use these techniques. Rather than theoretical aspects of Bayesian statistics or computational techniques, we illustrate how the Bayesian methods can be useful in analysing non-linear cointegration models. In the last ten years, non-linear time series models, such as regime switching models, have become popular among applie
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Feldkircher, Martin, and Florian Huber. "Adaptive Shrinkage in Bayesian Vector Autoregressive Models." WU Vienna University of Economics and Business, 2016. http://epub.wu.ac.at/4933/1/wp221.pdf.

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Vector autoregressive (VAR) models are frequently used for forecasting and impulse response analysis. For both applications, shrinkage priors can help improving inference. In this paper we derive the shrinkage prior of Griffin et al. (2010) for the VAR case and its relevant conditional posterior distributions. This framework imposes a set of normally distributed priors on the autoregressive coefficients and the covariances of the VAR along with Gamma priors on a set of local and global prior scaling parameters. This prior setup is then generalized by introducing another layer of shrinkage wit
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14

Brännström, Tomas. "Bias approximation and reduction in vector autoregressive models." Doctoral thesis, Handelshögskolan i Stockholm, Ekonomisk Statistik (ES), 1995. http://urn.kb.se/resolve?urn=urn:nbn:se:hhs:diva-878.

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In the last few decades, vector autoregressive (VAR) models have gained tremendous popularity as an all-purpose tool in econometrics and other disciplines. Some of their most prominent uses are for forecasting, causality tests, tests of economic theories, hypothesis-seeking, data characterisation, innovation accounting, policy analysis, and cointegration analysis. Their popularity appears to be attributable to their flexibility relative to other models rather than to their virtues per se. In addition, analysts often use VAR models as benchmark models. VAR modeling has not gone uncriticised, th
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15

Brännström, Tomas. "Bias approximation and reduction in vector autoregressive models /." Stockholm : Economic Research Institute, Stockholm School of Economics [Ekonomiska forskningsinstitutet vid Handelshögsk.] (EFI), 1995. http://www.hhs.se/efi/summary/405.

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16

Crespo, Cuaresma Jesus, Martin Feldkircher, and Florian Huber. "Forecasting with Global Vector Autoregressive Models: A Bayesian Approach." Wiley, 2016. http://dx.doi.org/10.1002/jae.2504.

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This paper develops a Bayesian variant of global vector autoregressive (B-GVAR) models to forecast an international set of macroeconomic and financial variables. We propose a set of hierarchical priors and compare the predictive performance of B-GVAR models in terms of point and density forecasts for one-quarter-ahead and four-quarter-ahead forecast horizons. We find that forecasts can be improved by employing a global framework and hierarchical priors which induce country-specific degrees of shrinkage on the coefficients of the GVAR model. Forecasts from various B-GVAR specifications tend to
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17

SANTOS, ALEXANDRE JOSE DOS. "TREE-STRUCTURE SMOOTH TRANSITION VECTOR AUTOREGRESSIVE MODELS – STVAR-TREE." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2009. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=15888@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>Esta dissertação tem como objetivo principal introduzir uma formulação de modelo não-linear multivariado, a qual combina o modelo STVAR (Smooth Transition Vector Autoregressive) com a metodologia CART (Classification and Regression Tree) a fim de utilizá-lo para geração de cenários e de previsões. O modelo resultante é um Modelo Vetorial Auto-Regressivo com Transição Suave Estruturado por Árvores, denominado STVAR-Tree e tem como base o conceito de múltiplos regimes, definidos por árvore binária. A especificação do modelo é feita
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18

Schnücker, Annika [Verfasser]. "Model Selection Methods for Panel Vector Autoregressive Models / Annika Schnücker." Berlin : Freie Universität Berlin, 2018. http://d-nb.info/1176708147/34.

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19

Camehl, Annika [Verfasser]. "Model Selection Methods for Panel Vector Autoregressive Models / Annika Schnücker." Berlin : Freie Universität Berlin, 2018. http://d-nb.info/1176708147/34.

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20

Braun, Robin [Verfasser]. "Three Essays on Identification in Structural Vector Autoregressive Models / Robin Braun." Konstanz : KOPS Universität Konstanz, 2019. http://d-nb.info/1191693473/34.

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21

Janeiro, Eva Isabel Crisótomo. "Transmissão monetária: resultados da aplicação de modelos VAR a Portugal e Alemanha." Master's thesis, Instituto Superior de Economia e Gestão, 2004. http://hdl.handle.net/10400.5/2832.

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Mestrado em Economia Monetária e Financeira<br>Tendo em conta o enquadramento da Terceira Fase da UEM, este trabalho aborda a questão da transmissão da política monetária à economia real. São estimados modelos VAR que pretendem identificar os efeitos de choques de taxa de juro sobre o produto e preços de duas economias da UEM, Portugal e Alemanha, em dois contextos distintos, políticas monetárias independentes e política monetária única. Paralelamente, estuda-se a importância relativa dos vários canais de transmissão monetária para o efeito total registado (canais de taxa de juro, taxa de câmb
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22

Ramanauskaitė, Giedrė. "Stress testing in credit risk analysis." Master's thesis, Lithuanian Academic Libraries Network (LABT), 2008. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2008~D_20080620_110415-38466.

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The supervising institutions do not give to commercial banks indications what models have to be used for stress testing. This research was done in order to find out which mathematical/statistical models are and can be used in credit risk stress testing. Credit risk is one of the biggest financial risks that every bank faces. Stress testing is a tool of credit risk assessment that helps to estimate the consequences of the events that have really small probability to happen but if they occur, banks can have significant losses. This study determined that the most plausible event is adverse macroe
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23

Pilström, Patrick, and Sebastian Pohl. "Forecasting GDP Growth : The Case of The Baltic States." Thesis, Jönköping University, JIBS, Economics, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-9776.

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<p>The purpose of this thesis is to identify a general model to forecast GDP growth for the Baltic States, Estonia, Latvia and Lithuania. If the model provides reliable results for these states, then the model should be able to forecast GDP growth for other countries of interest. Forecasts are made by using a reduced vector autoregressive (VAR) model. The VAR models make use of past values of Gross Domestic Product-Inflation-Unemployment as explanatory variables.</p><p>The performed forecasts have provided good results for horizons up to t+8. The forecasts for 2009 (t+12) are in line with thos
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24

Bertsche, Dominik [Verfasser]. "Three Essays on Identification and Dimension Reduction in Vector Autoregressive Models / Dominik Bertsche." Konstanz : KOPS Universität Konstanz, 2020. http://d-nb.info/1209879778/34.

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25

Perez, Tomas Rene. "Oil Price and the Stock Market: A Structural VAR Model Identified with an External Instrument." Miami University / OhioLINK, 2020. http://rave.ohiolink.edu/etdc/view?acc_num=miami1595877677072786.

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26

Lim, Néhémy. "Estimation de modèles autorégressifs vectoriels à noyaux à valeur opérateur : Application à l'inférence de réseaux." Thesis, Evry-Val d'Essonne, 2015. http://www.theses.fr/2015EVRY0007/document.

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Dans l’analyse des séries temporelles multivariées, la plupart des modèles existants sont utilisés à des fins de prévision, c’est-à-dire pour estimer les valeurs futures du système étudié à partir d’un historique de valeurs observées dans le passé. Une autre tâche consiste à extraire des causalités entre les variables d’un système dynamique. C’est pour ce dernier problème à visée explicative que nous développons une série d’outils. À cette fin, nous définissons dans cette thèse une nouvelle famille de modèles autorégressifs vectoriels non paramétriques construits à partir de noyaux à valeur op
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27

Horton, Wendy Elizabeth. "A vector autoregressive model of a regional Phillips curve in the United States." Thesis, Georgia Institute of Technology, 1996. http://hdl.handle.net/1853/30515.

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28

Wang, Jiayue. "Essays on oil price shocks and financial markets." Thesis, University of Edinburgh, 2012. http://hdl.handle.net/1842/6412.

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This thesis is composed of three chapters, which can be read independently. The first chapter investigates how oil price volatility affects the investment decisions for a panel of Japanese firms. The model is estimated using a system generalized method of moments technique for panel data. The results are presented to show that there is a U-shaped relationship between oil price volatility and Japanese firm investment. The results from subsamples of these data indicate that this U-shaped relationship is more significant for oil-intensive firms and small firms. The second chapter aims to examine
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29

Dahlberg, Magnus, and Gombrii Anders. "Vart är kronan på väg? : Utmaningen med växelkursprognoser - en jämförelse av prognosmodeller." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-439138.

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Riksbanken har under senaste åren blivit kritiserade för deras bristande prognoser av svenska valutakurser. I denna uppsats undersöks det om slumpvandring (RW) är den mest framgångsrika prognosmodellen eller om alternativa ekonometriska prognosmodeller (AR, VAR och VECM) kan estimera framtida växelkurser mer korrekt på kort sikt, ett kvartal fram, och medellång sikt, fyra kvartal fram. I dessa prognosmodeller behandlas fem Svenska makroekonomiska variabler som endogena; KPI, BNP, arbetslöshet, 3 månaders statsobligationer (T-bonds), samt en exogen variabel, Amerikansk-BNP. Den data som används
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30

Podstawski, Maximilian [Verfasser]. "Unconventional Identification in Vector Autoregressive Models: Empirical Essays on Credit, Risk and Uncertainty / Maximilian Podstawski". Berlin : Freie Universität Berlin, 2016. http://d-nb.info/1113593113/34.

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31

Crespo, Cuaresma Jesus, Gernot Doppelhofer, Martin Feldkircher, and Florian Huber. "Spillovers from US monetary policy: Evidence from a time-varying parameter global vector autoregressive model." Published by John Wiley & Sons Ltd on behalf of the Royal Statistical Society, 2019. http://dx.doi.org/10.1111/rssa.12439.

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The paper develops a global vector auto-regressive model with time varying pa- rameters and stochastic volatility to analyse whether international spillovers of US monetary policy have changed over time. The model proposed enables us to assess whether coefficients evolve gradually over time or are better characterized by infrequent, but large, breaks. Our find- ings point towards pronounced changes in the international transmission of US monetary policy throughout the sample period, especially so for the reaction of international output, equity prices and exchange rates against the US do
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32

Ma, Nicholas. "Stationary time series resulting from certain positive definite kernels and simulation via high-order vector autoregressive models." Thesis, Wichita State University, 2013. http://hdl.handle.net/10057/6826.

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Vector auto-regressive models have traditionally been used to model and forecast multivariate time series data, predicting future values based on previous observations. In this thesis, we introduce some multivariate time series with power-law decaying covariance matrix functions, and then construct a VAR model in order to generate approximate data from that time series. A fast model is developed to solve for the VAR(p) coefficients, implementing a block-Toeplitz equation solver to enable the choice of large p, avoiding the memory and speed issues with solving large systems via Gaussian elimina
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Jansson, Emelie, and Linda Kapple. "Vad styr företagens investeringar?En studie om hur förändringar i reporänta, makroekonomiska faktorer samt finansiella indikatorer påverkar investeringar hos svenska företag." Thesis, Linköpings universitet, Nationalekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-121716.

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Bakgrund: I november 2014 beslutade Riksbanken att ta steget mot en nollränta och i februari 2015 gick Riksbanken ut med ytterligare en sänkning till -0,10 procent. På så vis fick Sverige för första gången en negativ reporänta. Enligt makroekonomisk teori ska en sänkning av reporäntan stimulera konsumtion och investeringar i ekonomin. Huruvida reporäntan och dess räntesänkningar skapar förutsättningar för företag att investera är ett aktuellt och viktigt forskningsområde. Forskningen i ämnet är tunn på den svenska marknaden och således är forskningsbidraget från denna studie av betydelse.Syfte
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34

Bruns, Martin [Verfasser]. "Essays in Empirical Macroeconomics: Identification in Vector Autoregressive Models and Robust Inference in Early Warning Systems / Martin Bruns." Berlin : Freie Universität Berlin, 2019. http://d-nb.info/119064522X/34.

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35

Oliveira, Fabio Andrade Savino de. "Modeling expectations for national public securities: an application to models VAR." Universidade Federal do CearÃ, 2012. http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7867.

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nÃo hÃ<br>Considering the timing with which the market and the economic and financial analysts require information about the evolution of the assets, this work provides subsidies to apply time series models to anticipate the return of Brazilian government bonds. Vector auto-regressive models are developed and estimated for the main assets in government securities market in 2011 and forecasts suggest that the government bonds indexed to the IPCA and fixed-rate bonds are more promising in return that the government securities post-fixed , a fact consistent with the current context of a world eco
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Uhrin, Gábor B. [Verfasser], Martin [Akademischer Betreuer] Wagner, and Walter [Gutachter] Krämer. "In search of Q: results on identification in structural vector autoregressive models / Gábor B. Uhrin ; Gutachter: Walter Krämer ; Betreuer: Martin Wagner." Dortmund : Universitätsbibliothek Dortmund, 2017. http://d-nb.info/1138115134/34.

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Chilakamarri, Venkata Srinivasa Ravi Chandra. "SPATIO-TEMPORAL ANALYSES FOR PREDICTION OF TRAFFIC FLOW, SPEED AND OCCUPANCY ON I-4." Doctoral diss., University of Central Florida, 2009. http://digital.library.ucf.edu/cdm/ref/collection/ETD/id/3508.

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Traffic data prediction is a critical aspect of Advanced Traffic Management System (ATMS). The utility of the traffic data is in providing information on the evolution of traffic process that can be passed on to the various users (commuters, Regional Traffic Management Centers (RTMCs), Department of Transportation (DoT), ... etc) for user-specific objectives. This information can be extracted from the data collected by various traffic sensors. Loop detectors collect traffic data in the form of flow, occupancy, and speed throughout the nation. Freeway traffic data from I-4 loop detectors has be
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Hauzenberger, Niko, Maximilian Böck, Michael Pfarrhofer, Anna Stelzer, and Gregor Zens. "Implications of Macroeconomic Volatility in the Euro Area." 261, 2018. http://epub.wu.ac.at/6246/1/wp261.pdf.

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In this paper, we estimate a Bayesian vector autoregressive (VAR) model with factor stochastic volatility in the error term to assess the effects of an uncertainty shock in the Euro area (EA). This allows us to incorporate uncertainty directly into the econometric framework and treat it as a latent quantity. Only a limited number of papers estimates impacts of uncertainty and macroeconomic consequences jointly, and most literature in this sphere is based on single countries. We analyze the special case of a shock restricted to the Euro area, whose countries are highly related by definition. Am
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Olfati, Ronak. "The Impact of Oil Revenue on the Iranian Economy." Thesis, University of Bradford, 2018. http://hdl.handle.net/10454/16834.

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This study aims to identify the effects of oil income on economic growth in Iran over the period 1955-2014. The empirical literature indicates that countries with natural resources are growing more slowly than their counterparts. However, the results from this literature are far from conclusive, particularly in regard to the role played by oil-rich countries. Needless to say, this role depends on other factors as well, including the political situation in the country, the quality of institutions, and the efficacy of the financial system. Some empirical research has found that natural resources
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40

Crespo, Cuaresma Jesus, Florian Huber, and Luca Onorante. "The macroeconomic effects of international uncertainty shocks." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5462/1/wp245.pdf.

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We propose a large-scale Bayesian VAR model with factor stochastic volatility to investigate the macroeconomic consequences of international uncertainty shocks on the G7 countries. The factor structure enables us to identify an international uncertainty shock by assuming that it is the factor most correlated with forecast errors related to equity markets and permits fast sampling of the model. Our findings suggest that the estimated uncertainty factor is strongly related to global equity price volatility, closely tracking other prominent measures commonly adopted to assess global uncertainty.
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Van, Heerden Petrus Marthinus Stephanus. "The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden." Thesis, North-West University, 2010. http://hdl.handle.net/10394/4511.

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The inability to effectively hedge against unfavourable exchange rate movements, using the current forward exchange rate as the only guideline, is a key inhibiting factor of international trade. Market participants use the current forward exchange rate quoted in the market to make decisions regarding future exchange rate changes. However, the current forward exchange rate is not solely determined by the interaction of demand and supply, but is also a mechanistic estimation, which is based on the current spot exchange rate and the carry cost of the transaction. Results of various studies, inclu
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42

Degerli, Ahmet. "Short-term Industrial Production Forecasting For Turkey." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614689/index.pdf.

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This thesis aims to produce short-term forecasts for the economic activity in Turkey. As a proxy for the economic activity, industrial production index is used. Univariate autoregressive distributed lag (ADL) models, vector autoregressive (VAR) models and combination forecasts method are utilized in a pseudo out-of-sample forecasting framework to obtain one-month ahead forecasts. To evaluate the models&rsquo<br>forecasting performances, the relative root mean square forecast error (RRMSFE) is calculated. Overall, results indicate that combining the VAR models with four endogenous variables yie
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43

Raksong, Saranya. "The stability of money demand and monetary transmission mechanism in Thailand." Thesis, Curtin University, 2010. http://hdl.handle.net/20.500.11937/612.

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The major objective of this thesis is to investigate whether there exists a stable long run and short run equilibrium relationship between real money balances (M1 or M2) and their determinants in Thailand. A cointegration analysis and the Vector Error Correction Model (VECM) are conducted on quarterly data over two data set periods, 1980Q1 to 2007Q1 and 1993Q1 to 2007Q1. The results indicate that there exists a long run equilibrium relationship between real money demand (both M1 and M2) and its determinants: real income, price level, exchange rates, and external interest rates.The thesis also
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Alj, Abdelkamel. "Contribution to the estimation of VARMA models with time-dependent coefficients." Doctoral thesis, Universite Libre de Bruxelles, 2012. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/209651.

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Dans cette thèse, nous étudions l’estimation de modèles autorégressif-moyenne mobile<p>vectoriels ou VARMA, `a coefficients dépendant du temps, et avec une matrice de covariance<p>des innovations dépendant du temps. Ces modèles sont appel´es tdVARMA. Les éléments<p>des matrices des coefficients et de la matrice de covariance sont des fonctions déterministes<p>du temps dépendant d’un petit nombre de paramètres. Une première partie de la thèse<p>est consacrée à l’étude des propriétés asymptotiques de l’estimateur du quasi-maximum<p>de vraisemblance gaussienne. La convergence presque sûre et la n
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45

Scheffer, Deise. "O CONSUMO DE ENERGIA ELÉTRICA ATRELADO AO DESENVOLVIMENTO SOCIOECONÔMICO NO BRASIL E OS IMPACTOS AMBIENTAIS GERADOS PELA EMISSÃO DE CO2." Universidade Federal de Santa Maria, 2016. http://repositorio.ufsm.br/handle/1/8411.

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This research studies the relationships in Electric Energy Consumption, Carbon Dioxide Emission and Theil Index in Brazil. The period of analysis includes annual data from 1980 to 2011 in a total of 31 observations. The series presented order of integration equal one with the presence of cointegration thus to measure these influences we used a vector error correction model (VEC). By Function Impulse Response (FIR) and Variance Decomposition Analysis (ADV) we observed how each variable behaves to an abrupt change. To analyze the behavior of variables, methods of vector autoregressive (VAR) and
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46

Amorin, Anderson Luis Walker. "O EFEITO DO RISCO BRASIL SOBRE OS RETORNOS DO MERCADO IMOBILIÁRIO E O MERCADO EM GERAL, E OS DETERMINANTES MACROECONÔMICOS DO PREÇO DE IMÓVEIS RESIDENCIAIS." Universidade Federal de Santa Maria, 2016. http://repositorio.ufsm.br/handle/1/8383.

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Coordenação de Aperfeiçoamento de Pessoal de Nível Superior<br>The study of Brazilian real estate market, it s getting importance over time. In this sense the compression of how the Brazilian real estate market works, just like the relations between the investment options are important to investors to know better the risk of those assets. Thus, a Vector Autoregressive Model was used to analyze the short term relations between Brazilian real estate assets, general market and the Brazil Risk. The same way, was modeled an ordinary least square linear regression to identify the macroeconomic deter
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Jarocinski, Marek. "Essays on bayesian and classical econometrics with small samples." Doctoral thesis, Universitat Pompeu Fabra, 2006. http://hdl.handle.net/10803/7339.

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Esta tesis se ocupa de los problemas de la estimación econométrica con muestras pequeñas, en los contextos del los VARs monetarios y de la investigación empírica del crecimiento. Primero, demuestra cómo mejorar el análisis con VAR estructural en presencia de muestra pequeña. El primer capítulo adapta la especificación con prior intercambiable (exchangeable prior) al contexto del VAR y obtiene nuevos resultados sobre la transmisión monetaria en nuevos miembros de la Unión Europea. El segundo capítulo propone un prior sobre las tasas de crecimiento iniciales de las variables modeladas. Este
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48

Colot, Olivier. "Apprentissage et détection automatique de changements de modèles : application aux signaux électroencéphalographiques." Rouen, 1993. http://www.theses.fr/1993ROUES012.

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La thèse présentée traite du problème de la détection de changements de modèles dans des signaux vectoriels lentement variables. L'étude s'articule autour de deux thèmes: modélisation vectorielle, détection de changements de modèles. Le premier thème est traité sous l'angle d'une technique récursive de modélisation linéaire, tirant profit des propriétés de stationnarité locale des signaux étudiés dans un contexte vectoriel. Dans une seconde partie, le problème de la détection de changements de modèles est étudié. Deux approches sont proposées et testées: la première s'appuie sur un critère d'é
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Pradat, Yannick. "Retraite et risque financier." Thesis, Paris Sciences et Lettres (ComUE), 2017. http://www.theses.fr/2017PSLED022/document.

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Le premier chapitre examine les caractéristiques statistiques à long terme des rendements financiers en France et aux USA. Les propriétés des différents actifs font apparaître qu’à long terme les actions procurent un risque sensiblement moins élevé. En outre, les propriétés de retour à la moyenne des actions justifient qu’elles soient utilisées dans une stratégie de cycle de vie comme « option par défaut » de plans d’épargne retraite. Le chapitre deux fournit une explication au débat sur l'hypothèse d’efficience des marchés. La cause du débat est souvent attribuée à la petite taille des échant
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Adolf, Janne K. "Contextualizing the Dynamics of Affective Functioning: Conceptual and Statistical Considerations." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/19412.

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Aktuelle Affektforschung betont die Bedeutung mikrolängsschnittlicher Daten für das Verstehen täglichen affektiven Funktionierens, da sie es erlauben affektive Dynamiken und potentiell zugrunde liegende Prozesse zu beschreiben. Dynamische Längsschnittmodelle werden entsprechend attraktiver. In dieser Dissertation komme ich Forderungen nach einer Integration kontextueller Informationen in die Untersuchung täglichen affektiven Funktionierens nach. Speziell modifiziere ich populäre dynamische Modelle so, dass sie kontextuelle Variationen einbeziehen. In einem ersten Beitrag werden Personen als in
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