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Neusser, Klaus - 2016

VAR Models -- 13. Forecasting with VAR Models -- 14. Interpretation of VAR Models -- 15. Co-integration -- 16. The Kalman …

Persistent link: https://www.econbiz.de/10012397877

Multivariate Modelling of Non-Stationary Economic Time Series

Hunter, John - 2017 - 2nd ed. 2017

This book examines conventional time series in the context of stationary data prior to a discussion of cointegration … Analysis (SSA), the Kalman Filter and Structural Time Series, all in relation to cointegration. Using single equations methods … to develop topics, and as examples of the notion of cointegration, Burke, Hunter, and Canepa provide direction and …

Persistent link: https://www.econbiz.de/10012398276

Kointegrationskonzepte für die Kreditrisikomodellierung : Systematische Kreditrisiken und makroökonomische Theorienbildung

Wagatha, Matthias - 2005 - Gabler Edition Wissenschaft

In den letzten Jahren sind die Messung und die Steuerung von Kreditrisiken aufgrund der verschlechterten makroökonomischen Rahmenbedingungen und der daraus resultierenden Zunahme der Insolvenzen ins Zentrum des Interesses gerückt. Verstärkt wird diese Entwicklung durch die vom Baseler...

Persistent link: https://www.econbiz.de/10013517344

Integration und Volatilität bei Emerging Markets

Herrmann, Frank - 2005 - Gabler Edition Wissenschaft

Charakteristisch für Emerging Markets sind hohe Aktienrenditen und eine geringe Korrelation mit den Aktienrenditen der entwickelten Märkte, so dass durch Diversifikation der Investmentanlagen eine Verringerung des Portfoliorisikos erreicht werden kann. Die zunehmende Integration...

Persistent link: https://www.econbiz.de/10013517438

Money, Stock Prices and Central Banks : A Cointegrated VAR Analysis

Wiedmann, Marcel - 2011

This contribution applies the cointegrated vector autoregressive (CVAR) model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. The main objective is to check whether liquidity conditions play an important role in stock...

Persistent link: https://www.econbiz.de/10014015328

New Introduction to Multiple Time Series Analysis

Lütkepohl, Helmut - 2005

Persistent link: https://www.econbiz.de/10013520820

Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2009

Persistent link: https://www.econbiz.de/10013521068

Modeling and Valuation of Energy Structures : Analytics, Econometrics, and Numerics

Mahoney, Daniel - 2016

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

Persistent link: https://www.econbiz.de/10014306581

Topics in Dynamic Model Analysis : Advanced Matrix Methods and Unit-Root Econometrics Representation Theorems

Faliva, Mario (contributor); Zoia, Maria Grazia (contributor) - 2006

Provides an analysis of dynamic modelling in econometrics by bridging the unit-root gap between structural and time series approaches and focusing on representation theorems of (co)integrated processes.The book also presents an analytical setting to guide the formulation and solution in closed...

Persistent link: https://www.econbiz.de/10013520512

Konsum, Dividenden und Aktienmarkt : Eine Kointegrationsanalyse

Seiler, Yvonne (contributor) - 2006

Theoretische Fundierung -- Ökonometrische Implikationen -- Untersuchungsmethoden -- Messung der relevanten Daten -- Stationarität und deskriptive Statistik -- Untersuchungsergebnisse -- Zusammenfassung, Beitrag und Ausblick.

Persistent link: https://www.econbiz.de/10014014177

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