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Essays in Empirical Finance: Evaluating Risk in FinancialMarkets
Shcherbakova, Alysa - 2009
Essays in Empirical Finance: Evaluating Risk in FinancialMarketsBy Alysa V. ShcherbakovaThis dissertation is comprised of two parts, each addressing animportant type of financial risk. The first part is composed of anessay discussing Market Risk. This essay examines a causalrelationship between...
Persistent link: https://www.econbiz.de/10009480854
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Macroeconomic determinants of the stock market movements: empirical evidence from the Saudi stock market.
Alshogeathri, Mofleh Ali Mofleh - 2011
) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between … equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the …
Persistent link: https://www.econbiz.de/10009464070
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Investigating relationships of construction prices in Australia using cointegration analysis
Jiang, Heng; Fu, Cuijia; Liu, Chunlu - 2010
cointegration relationships of regional construction prices in Australia by using a range of econometric techniques including the … stationarity test, the Engle-Granger cointegration approach examines the long run equilibrium relationships within the regional …
Persistent link: https://www.econbiz.de/10009484078
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An economic analysis of construction industries producer prices in Australia
Fu, Cuijia; Liu, Chunlu - 2010
cointegration relationships of regional construction prices in Australia by using a range of econometric techniques including the … stationarity test, the Engle-Granger cointegration approach and error correction model. The cointegration relationships amongst the … regional construction prices are detected in this study. The application of the Engle-Granger cointegration approach examines …
Persistent link: https://www.econbiz.de/10009484081
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Investigating linkages between economic growth, energy consumption and pollutant emissions in Tunisia
Chebbi, Houssem Eddine - 2009
carbon emission using Tunisian data over the period 1971-2004.Cointegration procedure is used to analyze the time series … properties of the series and error-correction terms were considered to test for the direction of Granger causality ….The short-run analysis, provide support for causality running from CO2 emissions growth to output growth, both in the short …
Persistent link: https://www.econbiz.de/10009444799
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Structure of interdependencies among international stock markets and contagion patterns of 2008 global financial crisis
Ahmedov, Zafarbek; Bessler, David A. - 2011
In this study, we apply directed acyclic graphs and search algorithm designed for timeseries with non-Gaussian distribution to obtain causal structure of innovations from an errorcorrection model. The structure of interdependencies among six international stock markets isinvestigated. The...
Persistent link: https://www.econbiz.de/10009445191
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Dynamics on real estate and emerging markets
Schätz, Alexander - 2009
While much attention has focused on the modelling of the interdependencies between key aggregates and stock indices in industrialised countries, this thesis is focused on investments in emerging markets and real estate – two research branches that have up to now not been investigated to a...
Persistent link: https://www.econbiz.de/10009450173
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Adaptive weighting for flexible estimation in nonparametric regression models.
Nosedal-Sanchez, Alvaro - 2011
We propose a new method to find spatially adaptive smoothing splines. This new method breaks down the interval [0, 1] into p disjoint sub-intervals. Then we define p functional components in [0, 1], which have two importantfeatures. First, the purpose of each of these p components is to estimate...
Persistent link: https://www.econbiz.de/10009429662
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Preispromotionanalysen in Vertriebslinien des Lebensmitteleinzelhandels : dynamische Kategorieeffekte und Einflussfaktoren
Tobias Maria Günter - 2007
Persistenzmodellierung. Zu dieser gehören verschiedene Techniken der Zeitreihenanalyse (u. a. ADF-Test, VAR-Modelle, Impulse …
Persistent link: https://www.econbiz.de/10009428984
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<<A>> software framework for data based analysis
Krätzig, Markus - 2005
, insbesondere der Zeitreihenanalyse liegt. Das Konzept besteht darin, sämtliche wiederkehrenden Aufgaben mit Hilfe von Java …
Persistent link: https://www.econbiz.de/10009467166